Theoretical and empirical rate distributions of return stock market indices for agricultural products Cover Image

Teoretyczne i empiryczne rozkłady stóp zwrotu indeksów giełdowych produktów rolnych
Theoretical and empirical rate distributions of return stock market indices for agricultural products

Author(s): Gabriela Malik
Subject(s): Economy, Supranational / Global Economy, Agriculture, Financial Markets
Published by: Główny Urząd Statystyczny
Keywords: financial markets; agricultural products; stock market indexs; estimation; autoregressive integrated moving average (ARIMA) models

Summary/Abstract: The purpose of this article is to estimate and compare the distribution of selected return stock market index listed on the CME (Chicago Mercantile Exchange). A variety of different distributions that have been suggested in the literature was fitted to the empirical time-series by means of the Maximum Likelihood Method. In order to verify the goodness-of-fit of each of the theoretical distribution under consideration the three different tests were employed: x2 test, Kolmogorov test as well as Anderson-Darling test.

  • Issue Year: 58/2013
  • Issue No: 06
  • Page Range: 5-22
  • Page Count: 18
  • Language: Polish