Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities

Table 7

AIC and BIC values for each distribution (AIC, BIC). The minimum value is shown in bold.

	HSCEI	KOSPI 200	S&P 500	EURO STOXX 50
Cauchy	(7067.0, 7094.0)	(7038.6, 7065.6)	(6909.8, 6936.8)	(7031.5, 7058.5)
Laplace	(6524.9, 6536.4)	(6515.8, 6527.3)	(6419.3, 6430.8)	(6504.7, 6516.2)
Normal	(6530.6, 6542.1)	(6529.1, 6540.5)	(6531.8, 6543.2)	(6520.1, 6531.6)
Student’s t	(6447.0, 6464.2)	(6460.0, 6477.2)	(6412.5, 6429.7)	(6450.0, 6467.2)
Skew normal	(6530.6, 6547.8)	(6504.6, 6521.9)	(6502.9, 6520.2)	(6504.8, 6522.0)
Skew Cauchy	(7068.9, 7068.9)	(7031.2, 7048.4)	(6901.3, 6901.3)	(7029.0, 7046.2)
Skew Laplace	(6526.6, 6543.8)	(6504.3, 6521.5)	(6407.2, 6424.4)	(6500.9, 6518.1)
Skew Student’s t	(6447.9, 6470.9)	(6446.7, 6469.6)	(6395.8, 6418.8)	(6440.1, 6463.1)
Hyperbolic	(6450.1, 6473.1)	(6440.6, 6463.6)	(6380.6, 6403.6)	(6435.2, 6458.1)
NIG	(6449.3, 6472.3)	(6442.0, 6465.0)	(6386.2, 6409.2)	(6436.4, 6459.4)
Variance gamma	(6451.3, 6474.3)	(6439.6, 6462.6)	(6378.1, 6401.0)	(6434.2, 6457.2)
G. hyperbolic	(6450.8, 6471.8)	(6441.6, 6462.6)	(6380.1, 6401.1)	(6436.3, 6457.2)