Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation

Abstract

The aim of this paper is to estimate the Multivariate Affine Generalized distributions (MAGH) using market data. We use Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, the bi-variate distributions and the 6-dimensional distribution. Then, we asses their goodness of fit using Kolmogorov distances.Generalized Hyperbolic Distributions, Multivariate distributions, Affine transformation, Fat tails