TY - JOUR
T1 - Empirical distributions of daily equity index returns
T2 - A comparison
AU - Corlu, Canan G.
AU - Meterelliyoz, Melike
AU - Tiniç, Murat
PY - 2016/7/15
Y1 - 2016/7/15
N2 - The normality assumption concerning the distribution of equity returns has long been challenged both empirically and theoretically. Alternative distributions have been proposed to better capture the characteristics of equity return data. This paper investigates the ability of five alternative distributions to represent the behavior of daily equity index returns over the period 1979-2014: the skewed Student-t distribution, the generalized lambda distribution, the Johnson system of distributions, the normal inverse Gaussian distribution, and the g-and-h distribution. We find that the generalized lambda distribution is a prominent alternative for modeling the behavior of daily equity index returns.
AB - The normality assumption concerning the distribution of equity returns has long been challenged both empirically and theoretically. Alternative distributions have been proposed to better capture the characteristics of equity return data. This paper investigates the ability of five alternative distributions to represent the behavior of daily equity index returns over the period 1979-2014: the skewed Student-t distribution, the generalized lambda distribution, the Johnson system of distributions, the normal inverse Gaussian distribution, and the g-and-h distribution. We find that the generalized lambda distribution is a prominent alternative for modeling the behavior of daily equity index returns.
UR - http://www.scopus.com/inward/record.url?scp=84958740552&partnerID=8YFLogxK
U2 - 10.1016/j.eswa.2015.12.048
DO - 10.1016/j.eswa.2015.12.048
M3 - Article
SN - 0957-4174
VL - 54
SP - 170
EP - 192
JO - Expert Systems with Applications
JF - Expert Systems with Applications
ER -