Calibrate sx5e returns to a student''s-t distribution in

Calibrate sx5e returns to a student''s-t distribution in exce

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Reference no: EM131086897

Calibrate SX5E Returns to a Student's-t distribution in Excel

Download SX5E historical prices from 1987 to the present (using Bloomberg or Thomson Reuters if possible).
Calibrate the two parameters υ and λ via the explicit moment-matching formulas.
Choose µ = 0 (the returns should have been mean adjusted at this stage).
Choose the discretized x-space carefully.
Graph both empirical and theoretical distributions using a log graph.
Use the Excel function GAMMALN (), which is the natural log of Γ(p)

Reference no: EM131086897

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