Research Article
A Comparison of Generalized Hyperbolic Distribution Models for Equity Returns
Table 2
Univariate estimation parameters.
| Tickers | | | | | | | |
| AGL | GHD | −0.5547 | 1.0373 | 0.9583 | 0.0358 | 1.0111 | −0.0138 | HYP | 1 | 0.2363 | 2.4977 | 0.0169 | 0.9769 | −0.0170 | NIG | −0.5 | 0.9433 | 0.9433 | 0.0167 | 0.9913 | −0.0167 | VG | 1.5674 | 0 | 3.1349 | 0.0182 | 0.9768 | −0.0184 | St | −2.0142 | 2.0284 | 0 | 0.0149 | 1.0178 | −0.0151 |
| AMS | GHD | 1.1746 | 0.0950 | 2.5765 | 0.0701 | 0.9934 | −0.0699 | HYP | 1 | 0.1705 | 2.3891 | 0.0728 | 0.9947 | −0.0729 | NIG | −0.5 | 1.0749 | 1.0749 | 0.0892 | 0.9972 | −0.0892 | VG | 1.3704 | 0 | 2.7408 | 0.0503 | 0.9972 | −0.0504 | St | −2.2587 | 2.5174 | 0 | 0.0946 | 1.0137 | −0.0957 |
| ANG | GHD | −1.0350 | 1.2428 | 0.5004 | −0.0123 | 0.9995 | 0.0122 | HYP | 1 | 0.1336 | 2.3238 | −0.0154 | 0.9844 | 0.0154 | NIG | −0.5 | 0.8662 | 0.8662 | −0.0088 | 0.9972 | 0.0088 | VG | 1.3704 | 0 | 2.7408 | −0.0150 | 0.9844 | 0.0150 | St | −1.9560 | 1.9120 | 0 | −0.0106 | 1.0279 | 0.0109 |
| BIL | GHD | −1.5514 | 1.7473 | 0.2624 | −0.01000 | 0.9979 | 0.0069 | HYP | 1 | 0.1679 | 2.3847 | 0.0075 | 0.9846 | −0.0073 | NIG | −0.5 | 0.9414 | 0.9414 | −0.0016 | 0.9950 | 0.0017 | VG | 1.4412 | 0 | 2.8824 | 0.0184 | 0.9840 | −0.0185 | St | −2.0684 | 2.1369 | 0 | −0.0104 | 1.0180 | 0.0106 |
| GFI | GHD | −1.0813 | 1.1149 | 0.3490 | −0.0180 | 1.0001 | 0.01750 | HYP | 1 | 0.0829 | 2.2257 | −0.0247 | 0.9761 | 0.0248 | NIG | −0.5 | 0.7346 | 0.7346 | −0.0204 | 0.9949 | 0.0203 | VG | 1.2872 | 0 | 2.5743 | −0.0243 | 0.9755 | 0.0245 | St | −1.7969 | 1.5938 | 0 | −0.0151 | 1.0359 | 0.0150 |
| HAR | GHD | −1.2701 | 1.7211 | 0.5818 | −0.0726 | 1.0055 | 0.0863 | HYP | 1 | 0.2848 | 2.5731 | −0.0751 | 0.9837 | 0.0751 | NIG | −0.5 | 1.1388 | 1.1388 | −0.0646 | 0.9909 | 0.0646 | VG | 1.6596 | 0 | 3.3192 | −0.0728 | 0.9828 | 0.0729 | St | −2.3340 | 2.6681 | 0 | −0.0474 | 1.0038 | 0.0475 |
| IMP | GHD | 0.6870 | 0.9805 | 2.9234 | 0.1593 | 0.9870 | −0.1654 | HYP | 1 | 0.7646 | 3.2210 | 0.1267 | 0.9900 | −0.1267 | NIG | −0.5 | 1.8458 | 1.8458 | 0.1251 | 0.9918 | −0.1250 | VG | 2.2652 | 0 | 4.5305 | 0.1278 | 0.9898 | −0.1279 | St | −3.2041 | 4.4083 | 0 | 0.1249 | 0.9944 | −0.1251 |
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