(a) EGX 30
(b) MOD1 ()
(c) MOD2 ()
Figure 3: The probability density functions of returns. The panels show the empirical distribution of (a) the EGX 30, (b) the MOD1, and (c) the MOD2 returns. For comparison, the dashed lines give the probability density function of normally distributed returns with the same means and standard deviations. The three returns time series at hand exhibit fat-tailed return distributions, that is, a higher concentration around the mean, thinner shoulders, and more probability mass in their tails.