Density Forecasting of the Dow Jones Stock Index
2010 (English)Report (Other academic)
The distribution of differences in logarithms of the Dow Jones stock index is compared to the Normal (N), Normal Mixture (NM) and a weighted sum of a normal and an asymmetric Laplace distribution (NAL). It is found that the NAL fits best. We came to this result by studying samples with high, medium and low volatility, thus circumventing strong heteroscedasticity in the entire series. The NAL distribution also fitted economic growth, thus revealing a new analogy between financial data and real growth.
Place, publisher, year, edition, pages
Stockholm: Department of Statistics, Stockholm University , 2010. , 21 p.
Research Report / Department of Statistics, Stockholm University, ISSN 0280-7564 ; 1
Density forecasting, heteroscedasticity, mixed Normal - Asymmetric Laplace distribution, Method of Moments estimation, connection with economic growth
Probability Theory and Statistics
Research subject Statistics
IdentifiersURN: urn:nbn:se:su:diva-38647OAI: oai:DiVA.org:su-38647DiVA: diva2:311766