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generalized hyperbolic distribution sign in to follow this
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Risk Management with Generalized Hyperbolic Distributions
Year Of Publication: 2007
Month Of Publication: July
Pages: 6
Download Count: 4
View Count: 1299
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 9-9-2011
Publisher: Administrator
Summary
We examine certain Generalized Hyperbolic (GH) distributions for modeling equity returns, compared to usual Normal distributions. We describe these GH distributions and some of their properties, and test them against six years of daily S&P500 index prices. We estimate Value-at-Risk from calibrated distributions, and show that the Normal distribution leads to V aR estimates that significantly underestimate the realized empirical values, while the GH distributions do not. Of several GH distribution families considered, the most successful is the skewed-t distribution.
Author(s)
Hu, Wenbo Sign in to follow this author
Kercheval, Alec N. Sign in to follow this author
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