Artigo

Generalized Hyperbolic Distributions and Brazilian Data
José Fajardo & Aquiles Farias

Abstract
Abstract The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use these distributions in value at risk estimation and derivative price computation.