Open Access Open Access  Restricted Access Subscription Access

Estimating Parameters of Multivariate Scaled t Distribution of GSPC and its Associated Financial Indices

N. V. Chandrasekara, M. A. Mammadov, C. D. Tilakaratne


Many researchers were interested in predicting stock markets nowadays. When building prediction models, use of most appropriate multivariate distribution depicts prodigious impotence in terms of prediction accuracy. Therefore, scholars focus on identifying most appropriate multivariate distributions related to stock market. The main objective of this study is to estimate parameters of the multivariate distribution of the financial indices associated with GSPC. If the multivariate distribution of these financial indices and GSPC are properly estimated they can be used as predictor variables of a forecasting model for GSPC. With the evidence form literature, a local optimization method and a global optimization method were used for parameter estimation. Global optimization method outperformed the local optimization method. The location parameter is almost zero and it exhibits that the multivariate distribution is central. With respect to the estimated shape parameter it can be said that the multivariate Scaled t distribution of GSPC contains heavy tails and also less peaked.


Multivariate Scaled t distribution, United Sates stock market index, global optimization

Full Text:


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information. Also: DOI is paid service which provided by a third party. We never mentioned that we go for this for our any journal. However, journal have no objection if author go directly for this paid DOI service.