Modeling Baltic market benchmark index: a comparison of models
In this paper we perform a statistical analysis of the returns of OMX Baltic Benchmark index. We construct symmetric α-stable, non-standardized Student’s t and normal-inverse Gaussian models of daily logarithmic returns of the index, using maximum likelihood method for the estimation of the paramete...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2019-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
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| Online Access: | https://www.journals.vu.lt/LMR/article/view/15207 |
| _version_ | 1818340364626427904 |
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| author | Igoris Belovas |
| author_facet | Igoris Belovas |
| author_sort | Igoris Belovas |
| collection | DOAJ |
| description | In this paper we perform a statistical analysis of the returns of OMX Baltic Benchmark index. We construct symmetric α-stable, non-standardized Student’s t and normal-inverse Gaussian models of daily logarithmic returns of the index, using maximum likelihood method for the estimation of the parameters of the models. The adequacy of the modeling is evaluated with the Kolmogorov-Smirnov tests for composite hypothesis. The results of the study indicate that the normal-inverse Gaussian model outperforms alternative heavy-tailed models for long periods of time, while the non-standardized Student’s t model provides the best overall fit for the data for shorter intervals. According to the likelihood-ratio test, the four-parameter models of the log-returns of OMX Baltic Benchmark index could be reduced to the three-parameter (symmetric) models without much loss. |
| first_indexed | 2024-12-13T15:41:44Z |
| format | Article |
| id | doaj.art-58c2b196073b45a3a6a954021663281a |
| institution | Directory Open Access Journal |
| issn | 0132-2818 2335-898X |
| language | English |
| last_indexed | 2024-12-13T15:41:44Z |
| publishDate | 2019-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj.art-58c2b196073b45a3a6a954021663281a2022-12-21T23:39:48ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2019-12-0160B10.15388/LMR.B.2019.15207Modeling Baltic market benchmark index: a comparison of modelsIgoris Belovas0Vilnius Gediminas Technical University, Vilnius UniversityIn this paper we perform a statistical analysis of the returns of OMX Baltic Benchmark index. We construct symmetric α-stable, non-standardized Student’s t and normal-inverse Gaussian models of daily logarithmic returns of the index, using maximum likelihood method for the estimation of the parameters of the models. The adequacy of the modeling is evaluated with the Kolmogorov-Smirnov tests for composite hypothesis. The results of the study indicate that the normal-inverse Gaussian model outperforms alternative heavy-tailed models for long periods of time, while the non-standardized Student’s t model provides the best overall fit for the data for shorter intervals. According to the likelihood-ratio test, the four-parameter models of the log-returns of OMX Baltic Benchmark index could be reduced to the three-parameter (symmetric) models without much loss.https://www.journals.vu.lt/LMR/article/view/15207OMX Baltic Benchmark indexlogarithmic returnsα-stable modelskewed Student’s t modelnormal-inverse Gaussian model |
| spellingShingle | Igoris Belovas Modeling Baltic market benchmark index: a comparison of models Lietuvos Matematikos Rinkinys OMX Baltic Benchmark index logarithmic returns α-stable model skewed Student’s t model normal-inverse Gaussian model |
| title | Modeling Baltic market benchmark index: a comparison of models |
| title_full | Modeling Baltic market benchmark index: a comparison of models |
| title_fullStr | Modeling Baltic market benchmark index: a comparison of models |
| title_full_unstemmed | Modeling Baltic market benchmark index: a comparison of models |
| title_short | Modeling Baltic market benchmark index: a comparison of models |
| title_sort | modeling baltic market benchmark index a comparison of models |
| topic | OMX Baltic Benchmark index logarithmic returns α-stable model skewed Student’s t model normal-inverse Gaussian model |
| url | https://www.journals.vu.lt/LMR/article/view/15207 |
| work_keys_str_mv | AT igorisbelovas modelingbalticmarketbenchmarkindexacomparisonofmodels |