Generalized Hyperbolic Distributions and Brazilian Data

Authors

  • José Fajardo IBMEC Business School.
  • Aquiles Farias University of Brasilia.

DOI:

https://doi.org/10.12660/bre.v24n22004.2712

Keywords:

Generalized Hyperbolic Distributions, Derivatives Pricing, Fat Tails, Fast Fourier Transformation.

Abstract

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.

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Published

2004-11-02

Issue

Vol. 24 No. 2 (2004)

Section

Articles