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- W3137627800 abstract "Financial time series often present a nonlinear characteristics, and the distribution of financial data often show fat tail and asymmetry, but this don’t match with the standpoint that time series obey normal distribution of return on assets, etc, which is considered by linear parametric modeling in the traditional linear framework. This paper has a systematic introduction of the definitions of GH distribution family and related statistical characteristics, which is based on reviewing the basic properties of the ARCH/GARCH model family and a common distribution of its disturbance. And select the Shanghai Composite Index and the Shanghai and Shenzhen (CSI) 300 index daily return rate index to estimate volatility model. GH distribution is used for further fitting to disturbance. This is done after take full account of the effective extraction of the model for the disturbance distribution information. The results show that the GH distribution can effectively fitting residuals distribution of the volatility models about series on return rate." @default.
- W3137627800 created "2021-03-29" @default.
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- W3137627800 date "2021-03-22" @default.
- W3137627800 modified "2023-10-15" @default.
- W3137627800 title "Research on Volatility of Return of Chinese Stock-Market Based on Generalized Hyperbolic Distribution Family" @default.
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- W3137627800 doi "https://doi.org/10.46300/9103.2021.9.1" @default.
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