MODELOWANIE EMPIRYCZNYCH ROZKŁADÓW STÓP ZWROTU Z AKCJI NOTOWANYCH NA GIEŁDZIE PAPIERÓW WARTOŚCIOWYCH W WARSZAWIE ZA POMOCĄ LOGARYTMICZNEJ I KLASYCZNEJ STOPY ZWROTU
MODELING THE EMPIRICAL DISTRIBUTIONS OF RETURN RATES ON WARSAW STOCK EXCHANGE STOCKS BY APPLICATION OF THE LOGARITHMIC AND CLASSICAL RETURN RATES

Summary/Abstract: In this paper the modeling of return rates on WIG, WIG20, MWIG40 and SWIG80 indexes was made by application of Laplace, Gaussian and GED distributions. Calculations were made for classical and logarithmic return rates with the view of comparing the final results, which were the chi-square goodness-of-fit test results. Furthermore, the applicability of three methods of estimating GED parameters (Maximum Likelihood Method and two approximate methods) in modeling empirical return rates of selected stock exchange indexes was thoroughly discussed and verified.

• Details
• Contents