Abstract #301135

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JSM 2003 Abstract #301135
Activity Number: 19
Type: Contributed
Date/Time: Sunday, August 3, 2003 : 2:00 PM to 3:50 PM
Sponsor: Business & Economics Statistics Section
Abstract - #301135
Title: Flexible Parametric Distributions for Financial Data
Author(s): James B. McDonald*+ and Christian K. Hansen and Panayiotis Theodossiou
Companies: Brigham Young University and Eastern Washington University and Rutgers University
Address: Dept. of Economics, Provo, UT, 84602,
Keywords: GARCH ; partially adaptive estimation ; flexible parametric distributions
Abstract:

This paper investigates the distributional characteristics of four flexible parametric probability density functions: the exponential generalized beta of the second kind, the skewed generalized error, the skewed generalized t, and the inverse hyperbolic sine distributions. Moreover, it assesses the relative performance of the four distributions in fitting both the unconditional distributions and conditional distributions in GARCH specifications of five financial data series. The flexible parametric probability density functions are seen to accommodate diverse distributional characteristics.

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