Modeling Currency Rates and Indices in Emerging Asia’s Markets
摘要：In this paper we show that the geometric Brownian motion is not suited enough for modeling log returns of currency rate and index in emerging Asia’s markets. Empirical study using real datasets from several emerging Asia’s markets shows that a class of Levy process, a so-called variance gamma process, performs better than the geometric Brownian. The geometric Brownian motion is not able to describe some characteristic features of data such as higher skewness and excess kurtosis. On the other hand the variance gamma process is the most successful in capturing those characteristic features.
2011 World Congress on Engineering and Technology（CET 2011）
数学; 宏观经济管理与可持续发展; 金融