Risk Managementwith Generalized Hyperbolic Distributions
نویسنده
چکیده
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.
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