Generalized Hyperbolic Distributions and Brazilian Data
Banco Central do Brasil Working Paper No. 52
38 Pages Posted: 2 Mar 2003
Date Written: September 2002
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: Suggested Citation