Arithmetic or Logarithmic Rate of Return? The Impact of the Choice Made on the Distribution Modelling Results
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ARITHMETIC_OR_LOGARITHMIC_RATE_OF_RETURN.pdf (1009.82 KB)
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Date
2016
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Kartprint
Abstract
The objective of this work is to examine the impact of selection of the type of the rate of return, the distribution and estimation horizon applied on the results of modelling of rates of return. For this purpose, normal and logarithmic rate of return will be used, and the following distributions will be taken into account: skewed normal, skewed t-Student, skewed GED and stable distribution. In addition, in order to specify the significance of maturity of the capital market on the quality of the models obtained, the rate of return from S&P500 and WIG will be subject to modelling.
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Czyżycki, R., (2015), Arithmetic or Logarithmic Rate of Return? The Impact of the Choice Made on the Distribution Modelling Results, [in:] Contemporary Socio-economic Issues and Problems Management – Processes, Bratislava 2016, ss. 19-29