FOUR-PARAMETER GENERALIZED GAMMA DISTRIBUTION USED FOR STOCK RETURN MODELLING

Ophélie Gomès (1) , Catherine Combes (2) , Alain Dussauchoy (1)

1 PRISMA - Laboratoire de Productique et Informatique des systèmes manufacturiers
2 LHC - Laboratoire Hubert Curien

This article focuses on the stock return modelling. Even if normal distribution has been considered over many years, the raised problem by asymmetry or fat tails phenomenon leads to think about others distributions taking into account this typical feature. We try to prove that a four-parameter generalized gamma distribution fits more correctly stock-market than a normal distribution. We also provide some results on the use of such a distribution on stock-return of French enterprises (Alcatel, Cap Gemini, Total Oil Company, Renault and Carrefour) and of CAC40 index (index including the 40 more important French enterprises).

Keywords: Four-parameter generalized gamma distribution; generalized gamma distribution; stock return; normal distribution; fat tails; asymmetry; chi-square tests; CAC40 stock return modelling.; CAC40 stock return modelling

Domains: Computer Science [cs]; Other [cs.OH]

Ophélie Gomès, Catherine Combes, Alain Dussauchoy. FOUR-PARAMETER GENERALIZED GAMMA DISTRIBUTION USED FOR STOCK RETURN MODELLING. IMACS - IEEE 4th CESA Multiconference on "Computational Engineering in Systems Applications, Oct 2006, Beijing, China. ⟨ujm-00377929⟩