Modeling Baltic market indices: a comparison of models

Abstract

In this paper we perform a statistical analysis of the returns of Baltic market indices. We construct symmetric a-stable, non-standardized Student’s t and normal-inverse Gaussian models, using maximum likelihood method for the estimation of the parameters of the models. The adequacy of the modeling is evaluated with the Kolmogorov tests for composite hypothesis. The results of the study indicate that the normal-inverse Gaussian model provides the best overall fit for the data.