Student't mixture models for stock indices. A comparative study
General Economics
2023-08-23 v1 Economics
Abstract
We perform a comparative study for multiple equity indices of different countries using different models to determine the best fit using the Kolmogorov-Smirnov statistic, the Anderson-Darling statistic, the Akaike information criterion and the Bayesian information criteria as goodness-of-fit measures. We fit models both to daily and to hourly log-returns. The main result is the excellent performance of a mixture of three Student's distributions with the numbers of degrees of freedom fixed a priori (3St). In addition, we find that the different components of the 3St mixture with small/moderate/high degree of freedom parameter describe the extreme/moderate/small log-returns of the studied equity indices.
Cite
@article{arxiv.2308.10023,
title = {Student't mixture models for stock indices. A comparative study},
author = {Till Massing and Arturo Ramos},
journal= {arXiv preprint arXiv:2308.10023},
year = {2023}
}