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Modelling stock returns - the Johnson's SU distribution (Excel)
Автор: NEDL
Загружено: 2020-05-27
Просмотров: 2335
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When we think we have already covered all the distributions that can be applied to model stock returns, there is always another one. Johnson's SU distribution is a modification of the normal distribution function that uses some insights from the inverse hyperbolic trigonometric functions. It can be tricky to digest and especially estimate, but today we are trying to do our best and apply the Johnson's SU function to S&P 500 returns in Excel.
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