A Comparison of Generalized Hyperbolic Distribution Models for Equity Returns

Table 2

Univariate estimation parameters.

Tickers		𝜆	𝜒	𝜓	𝜇	𝜎	𝛾
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