Skewness in return rate distribution modelling
Streszczenie
The main objective of the study is to assess the extent to which inclusion of the possibility of skewness in the density functionaffects thequality ofreturn rate distribution modelling. Three basie distribution types shallbe used to this end,i.e.normal distribution, Student's t-distribution and GED distribution. Additionally, the significance of skewness for modelling normal and logarithmic return rate shall be determined, as well as differences inreturn rate distribution skewness on both maturę and developing capital markets.For this purpose,return rates onthe S&P500 and WIGindices shall be subjectedto modelling.
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