Displaying 1 result from an estimated 1 matches for "mattiasviktor".
2013 Apr 07
0
Fitting distributions to financial data using volatility model to estimate VaR
...imation.
First of all, is this correct?
I looked at several papers, but I did not understand, how they did
this? No matter what volatility model they use, I cannot understand
the connection of distribution and volatility model. For example,
consider this paper:
http://www.math.chalmers.se/~palbin/mattiasviktor.pdf
On page 50 they are showing the hyperbolical distribution with
different volatility models, how did they do this?
Also, I do not understand table 6.2 on page 49: If they have estimated
several distributions over the time, they have lots of estimates, but
they just show one distribution? I mea...