Generalized Hyperbolic Distributions and Brazilian Data

Generalized Hyperbolic Distributions and Brazilian Data

The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use these distributions in value at risk estimation and derivative price computation.

Modelling Nancial Data Using Generalized Hyperbolic Distributions

Modelling Financial Data Using Generalized Hyperbolic Distributions

This note describes estimation algorithms for generalized hyperbolic hyperbolic and nor mal inverse Gaussian distributions These distributions provide a better t to empirically observed log return distributions of nancial assets than the classical normal distributions Based on the better t to the semi heavy tails of nancial assets we can compute more realistic Value at Risk estimates The modell...

Risk Managementwith Generalized Hyperbolic Distributions

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 un...

Hessian Stochastic Ordering in the Family of multivariate Generalized Hyperbolic Distributions and its Applications

In this paper, random vectors following the multivariate generalized hyperbolic (GH) distribution are compared using the hessian stochastic order. This family includes the classes of symmetric and asymmetric distributions by which different behaviors of kurtosis in skewed and heavy tail data can be captured. By considering some closed convex cones and their duals, we derive some necessary and s...