| dc.description.abstract | Generalised Hyberbolic Distributions (GHDs) are very signi…cant in modeling
to model returns from …nancial market variables such as exchange rate,
equity prices, and interest rate measured over short time intervals, i.e. daily
or weekly. These returns are chacterized by non-normality. The empirical
distribution of such returns is more peaked and has fatter tails than the normal
distribution, which implies that changes in return occur with a higher
frequency than under normality. In addition it is often skewed towards the
left tail and has a kurtosis greater than 3. The GHD is a promising distribution
for such returns. Its a heavy tailed distribution and thus has kurtosis
greater than 3 (leptokurtic). GHD embraces many special cases and limiting
distributions. Some examples are the hyperbolic, the Normal Inverse
Gaussian(NIG), the (skew) Student’s t, Variance Gamma and the Normal
itself. | en |
