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Title:Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns PDF Logo
Authors:Fischer, Matthias J.
Issue Date:2002
Series/Report no.:Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 46/2002
Abstract:A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to allow for skewness. For this reason, Fischer and Vaughan (2002) additionally introduced a skewness parameter by means of splitting the scale parameter and showed that most of the nice properties are preserved. We briefly review both classes of distributions and apply them to financial return data. By means of the Nikkei225 data, it will be shown that this class of distributions - the socalled skew generalized secant hyperbolic distribution - provides an excellent fit in the context of unconditional and conditional return models.
Subjects:SGSH distribution
NEF-GHS distribution
skewness
GARCH
APARCH
JEL:C22
G12
Document Type:Working Paper
Appears in Collections:Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg

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