A Comparison of Generalized Hyperbolic Distribution Models for Equity Returns

Table 4

Kolmogorov distance.

Tickers	GHD		Hyp		NIG		VG		St
	KS	𝑃 value	KS	𝑃 value	KS	𝑃 value	KS	𝑃 value	KS	𝑃 value
AGL	0.0214	0.884	0.024	0.78	0.0414	0.1536	0.0254	0.7208	0.0467	0.07593
AMS	0.036	0.2847	0.032	0.4253	0.0267	0.6596	0.03	0.5086	0.03	0.508
ANG	0.028	0.5981	0.4746	0.0003	0.018	0.9681	0.0227	0.8351	0.0274	0.6288
BIL	0.0447	0.09989	0.03	0.5086	0.0207	0.9055	0.026	0.6903	0.0454	0.09129
GFI	0.026	0.6903	0.0347	0.3275	0.0374	0.2461	0.028	0.5981	0.0354	0.3056
HAR	0.03	0.5086	0.0134	0.9993	0.0234	0.8082	0.0374	0.2461	0.0314	0.4522
IMP	0.0254	0.7208	0.0274	0.6288	0.026	0.6903	0.026	0.6903	0.028	0.5981