A novel heavy tail distribution of logarithmic returns of cryptocurrencies

【Author】 Van Tran, Quang; Kukal, Jaromir

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We propose a novel distribution derived from the generalized gamma distribution by symmetrization and regularization around the mean. Besides location and scale parameters, the distribution has three shape parameters with many sub-models as special cases. Its parameters can be estimated by non-linear regression with parameter significance verification and sub-model testing. The applicability of this family of novel distributions is verified on returns of three cryptocurrencies and its suitability is tested by chi(2) goodness of fit testing. The obtained results show that this novel distribution and its sub-models can be viable candidates for modeling the returns of cryptocurrencies.

【Keywords】Generalized gamma distribution; Regularization; Parameter estimation; Logarithmic returns; Cryptocurrencies

【发表时间】2022 JUN

【收录时间】2022-07-17

【文献类型】实验仿真

【主题类别】

区块链治理-市场治理-市场分析