On the Distributional Characterization of Log-returns of a World Stock Index

Abstract

In this paper we identify distributions which suitably fit log-returns of the world stock index (WSI) when these are expressed in units of different currencies. By searching for a best fit in the class of symmetric generalized hyperbolic distributions the maximum likelihood estimates appear to cluster in the neighborhood of those of the Student t distribution. This is confirmed on a high significance level under the likelihood ratio test.world stock index; benchmarked log-return; Student t distribution; symmetric generalized hyperbolic distribution