Abstract
This paper illustrates a procedure for fitting financial data with α-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some goodness-of-fit tests on this estimate in order to quantitatively assess its quality. It turns out that, for one of the two investigated data sets (DJIA from 2000 to present), an α-stable fit of log-returns is reasonably good. However, for the other data set (MIB30 from 2000 to present), the fit is not as good as in the previous case. The issue of goodness-of-fit tests is critically discussed.
| Original language | English |
|---|---|
| Pages (from-to) | 105-111 |
| Number of pages | 7 |
| Journal | Journal of the Korean Physical Society |
| Volume | 50 |
| Issue number | 1 I |
| Publication status | Published - Jan 2007 |
| Externally published | Yes |
Keywords
- Econophysics
- α-stable distributions
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