Generalized Hyperbolic Distributions and Brazilian Data

Banco Central do Brasil Working Paper No. 52

38 Pages Posted: 2 Mar 2003

See all articles by José Fajardo

José Fajardo

Getulio Vargas Foundation

Aquiles Farias

Government of the Federative Republic of Brazil - Central Bank of Brazil

Date Written: September 2002

Abstract

The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use these distributions in value at risk estimation and derivative price computation.

Keywords: Generalized Hyperbolic Distributions, Derivatives Pricing, Fat Tails, Fast Fourier Transformation

JEL Classification: C52, G10

Suggested Citation

Fajardo, José and Farias, Aquiles, Generalized Hyperbolic Distributions and Brazilian Data (September 2002). Banco Central do Brasil Working Paper No. 52. Available at SSRN: https://ssrn.com/abstract=338283 or http://dx.doi.org/10.2139/ssrn.338283

José Fajardo (Contact Author)

Getulio Vargas Foundation ( email )

Brazil
55213799 5781 (Phone)

HOME PAGE: http://www.josefajardo.com

Aquiles Farias

Government of the Federative Republic of Brazil - Central Bank of Brazil ( email )

P.O. Box 08670
SBS Quadra 3 Bloco B - Edificio-Sede
Brasilia DF 70074-900, Distr. Federal 70074-900
Brazil

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