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Finding a Representative Distribution for the Tail Index Alpha, α, for Stock Return Data from the New York Stock Exchange

Statistical inference is a tool for creating models that can accurately display real-world events. Special importance is given to the financial methods that model risk and large price movements. A parameter that describes tail heaviness, and risk overall, is α. This research finds a representative distribution that models α. The absolute value of standardized stock returns from the Center for Research on Security Prices are used in this research. The inference is performed using R. Approximations for α are found using the ptsuite package. The GAMLSS package employs maximum likelihood estimation to estimate distribution parameters using the CRSP data. The distributions are selected by using AIC and worm plots. The Skew t family is found to be representative for the parameter α based on subsets of the CRSP data. The Skew t type 2 distribution is robust for multiple subsets of values calculated from the CRSP stock return data.

Identiferoai:union.ndltd.org:ETSU/oai:dc.etsu.edu:etd-5552
Date01 May 2022
CreatorsBurns, Jett
PublisherDigital Commons @ East Tennessee State University
Source SetsEast Tennessee State University
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceElectronic Theses and Dissertations
RightsCopyright by the authors.

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