Application of Generalized Student’s T-Distribution in Modeling the Distribution of Empirical Return Rates on Selected Stock Exchange Indexes
Application of Generalized Student’s T-Distribution in Modeling the Distribution of Empirical Return Rates on Selected Stock Exchange Indexes
Author(s): Jan Purczyński, Kamila Bednarz-OkrzyńskaSubject(s): Economy, Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: Student’s t-distribution; generalized Student’s t-distribution; estimation of distribution parameters
Summary/Abstract: This paper examines the application of the so called generalized Student’s t-distribution in modeling the distribution of empirical return rates on selected Warsaw stock exchange indexes. It deals with distribution parameters by means of the method of logarithmic moments, the maximum likelihood method and the method of moments. Generalized Student’s t-distribution ensures better fitting to empirical data than the classical Student’s t-distribution.
Journal: Folia Oeconomica Stetinensia
- Issue Year: 13/2013
- Issue No: 2
- Page Range: 37-48
- Page Count: 12
- Language: English