The Statistical Analysis of the Log-Return Series of the Chinese Stockprices: An Application of the Generalized Hyperbolic Distributions
Huiqiong Li, Liucang Wu · Journal of Data Analysis · 2007
This paper has studied the distributions of the log returns of the Chinese stock market, using the Generalized Hyperbolic Distributions (GH) as the reference distributions. The empirical results shows that in almost all the cases, both Normal Inverse Gaussian (NIG)distribution and the Hyperbolic distribution can fit the data very well.