A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns
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- 作者：Ahmet Gö ; ncü ; a ; c ; Ahmet.Goncu@xjtlu.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Mehmet Oğuz Karahanb ; c ; oguzkarahan@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Tolga Umut Kuzubaşd ; c ; umut.kuzubas@boun.edu.tr" class="auth_mail" title="E-mail the corresponding author
- 关键词：Variance-gamma model ; Normal-inverse gaussian model ; Generalized hyperbolic model ; Heston model ; Markov regime-switching model ; Emerging markets
- 刊名：The North American Journal of Economics and Finance
- 出版年：2016
- 出版时间：April 2016
- 年：2016
- 卷：36
- 期：Complete
- 页码：69-83
- 全文大小：648 K
文摘
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We analyze goodness-of-fit of three Lévy processes and Heston model to index returns.
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We identify normal and turbulent periods for twenty developed and emerging markets.
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We observe Lévy processes perform better than Heston model in developed markets.
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In most cases, VG and NIG distributions provide better fit than GH distribution.