NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL.

NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL.

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We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we assume that the volatility is a linear function of the number of trades. In addition to the...

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Bibliographic Details
Main Authors: Kucharska, Magdalena, Pielaszkiewicz, Jolanta
Format: Others
Language:English
Published: Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE) 2009
Subjects:
NIG distribution
Value at Risk
Expected Tail Loss
Lindberg method
EM algorithm
risk analysis
ETL
VaR
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2874

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