Simulation and Estimation of the Meixner Distribution

Abstract

The Meixner distribution is a special case of the generalized z-distributions. Its properties make it potentially very useful in modeling short-term financial returns. This article proposes an algorithm to simulate the Meixner distribution, and shows how to obtain maximum likelihood estimators of its parameters. A GARCH-type model is then assessed, assuming that the innovation distribution is a standardized Meixner. Goodness-of-fit properties are investigated for some real financial time series, using bootstrap tests based on the empirical process of the residuals.

Keywords:

• APARCH model
• Bootstrap goodness of fit
• Johnson translation system
• Maximum likelihood estimation
• Rejection method

Mathematics Subject Classification:

• C13
• C15
• C32
• C46

Notes

¹Source: http://finance.yahoo.com