APPLICATION OF THE KAPPA DISTRIBUTION IN THE FINANCIAL DATA

It is of great importance for those in charge of managing risk to understand how financial asset returns are distributed.It is well known that financial data often exhibit heavy tails with dependences,which makes the inference more challenging and problematic. In this paper, we consider the Kappa distribution which is a skewed distribution for modeling the stock price data. Applying the estimation method, the unknown parameters are estimated. Since closed-form expressions for the estimators cannot be obtained, we use the numerical procedure for computing them. An example represents the stock pricedata is used to illustrate the proposed results.

کلیدواژه ها:

Kappa distribution ، Heavy tail ، Likelihood ratio test