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arXiv · 2308.10023

Student't mixture models for stock indices. A comparative study

Till Massing·Arturo Ramos
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Abstract

We perform a comparative study for multiple equity indices of different countries using different models to determine the best fit using the Kolmogorov-Smirnov statistic, the Anderson-Darling statistic, the Akaike information criterion and the Bayesian information criteria as goodness-of-fit measures. We fit models both to daily and to hourly log-returns. The main result is the excellent performance of a mixture of three Student's $t$ distributions with the numbers of degrees of freedom fixed a priori (3St). In addition, we find that the different components of the 3St mixture with small/moderate/high degree of freedom parameter describe the extreme/moderate/small log-returns of the studied equity indices.

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Till Massing, Arturo Ramos. 2023-08-19. Student't mixture models for stock indices. A comparative study. https://doi.org/10.1016/j.physa.2021.126143

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