Which is the right option for Indian market: Gaussian, normal inverse Gaussian, or Tsallis?
This paper models Nifty spot prices using frameworks based on Gaussian distribution (geometric Brownian motion) and non-Gaussian distributions, viz. normal inverse Gaussian (NIG), and Tsallis distributions, to investigate which model best captures the underlying dynamics. The simulation results sugg...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2019-09-01
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| Series: | IIMB Management Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389619301612 |