Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2017.86-05
CC BY-SA   Open Access 

Issue archive / 2/2017 (86)
Dopasowanie rozkładów teoretycznych do empirycznych rozkładów stóp zwrotu wybranych indeksów giełdowych i spółek
(FITTING THEORETICAL DISTRIBUTIONS TO EMPIRICAL DISTRIBUTIONS OF RETURN ON SELECTED STOCK EXCHANGE INDICES AND COMPANIES)

Authors: Jan Purczyński
WZiEU US
Keywords: modeling empirical distributions of return rates minimizing value of goodness of fit test statistic
Data publikacji całości:2017
Page range:12 (59-70)
Cited-by (Crossref) ?:

Abstract

Purpose: The aim of the paper is to examine the methods of approximation of empirical distributions of stock return rates using the Gaussian and Laplace distributions, and to propose modification of the evaluation of location and scale parameters determined for that purpose by means of the Maximum Likelihood Method (MLM). Methodology: As a part of the research, the approximation of empirical distributions of return rates on selected Warsaw Stock Exchange indices and companies was performed using the Gaussian and Laplace distributions. Starting from the distribution parameters obtained through MLM, the value of estimation of scale and location parameters was changed. As a criterion, the minimum value of goodness of fit test statistic was adopted for the following distributions: chi-square, Kolmogorov and Kolmogorov-Lilliefors. Findings: Much better fit of theoretical distributions to empirical data was obtained compared to estimations of the parameters obtained through MLM. Originality/Value: The proposed method increases the number of cases of a positive result of test for modeling empirical distributions of return rates on selected stock exchange indices and companies with the normal distribution.
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