Asset Return Distribution and Its Application to Gold Future Index

  • Sandya Nilmini Kumari
  • Abby Tan

Abstract

Returns and probability distribution of log-returns in the financial time series are crucial for further development of quantitative finance. This paper suggests more appropriate distribution for the gold future index by reviewing history of the asset return distributions and documenting some stylized facts. The return of the sample of daily 2364 observations is fitted to different distribution. This identifies the Student’s t distribution with about 4.4 degree of freedom as a typical estimated logreturn distribution for Gold future index with significance level of 1%. Test of the goodness of fit and log-likelihood values are performed in order to quantitatively access the quality of the estimation. Furthermore, this result can be interpreted as a stylized fact with a high level of significance.

Published
2018-05-11
How to Cite
KUMARI, Sandya Nilmini; TAN, Abby. Asset Return Distribution and Its Application to Gold Future Index. GSTF Journal of Mathematics, Statistics and Operations Research (JMSOR), [S.l.], v. 2, n. 1, may 2018. ISSN 2251-3396. Available at: <http://dl6.globalstf.org/index.php/jmsor/article/view/1532>. Date accessed: 19 dec. 2018.