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Financial data and the skewed generalized \(t\) distribution. (English) Zbl 1001.91051

Summary: This paper develops a skewed extension of the generalized \(t\) (GT) distribution, introduced by McDonald and Newey (1988). In particular, the paper derives the mathematical moments and other properties of the distribution and assesses its ability to fit the empirical distribution of several financial series characterized by skewness and excess kurtosis. In all cases the skewed GT provides an excellent fit to the empirical distribution of data.

MSC:

91B28 Finance etc. (MSC2000)
60E05 Probability distributions: general theory
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