Author: Zhu, Difei
Author: Sun, Jiaxiu
This paper examines the best distribution for stock returns. Normal distribution is the basic assumption we assume when understanding and analyzing different kinds of models. However, this does not always work when describing stock returns distribution because they always have fat tails that cannot be explained. We used several databases and distributions to find out the most suitable distribution for stock returns by examining them through A-D test and Value at Risk application. The result is that Generalized Pareto Distribution is the most suitable one statistically.
MSc in Finance Project-Simon Fraser University
Copyright is held by the author(s).
You are free to copy, distribute and transmit this work under the following conditions: You must give attribution to the work (but not in any way that suggests that the author endorses you or your use of the work); You may not use this work for commercial purposes.
Member of collection