Author(s)

Hugo Gobato Souto

BASF Nederland B.V., Arnhem, Netherlands.

In 2010 a new financial risk measure was discovered, namely Financial Turbulence. Although it has been studied by other papers, its statistical distribution study is still missing. Knowing a financial phenomenon distribution is of importance when performing risk and portfolio management, especially when estimating parametric Value-at-Risk with Copulas and performing Monte Carlo simulations. Therefore, this paper explores the S&P 500 Fi-nancial Turbulence to determine its best distribution fit by making use of various residual measures and goodness-of-fit tests. Additionally, it makes use of in-sampling and out-sampling in the period between 01/11/2012 and 01/11/2022. The results of this research indicate that the Generalised Hyperbolic distribution describes the S&P 500 Financial Turbulence the best.

Financial Turbulence, Generalised Hyperbolic Distribution, S&P 500, Goodness-of-Fit Tests

Souto, H. (2023) Distribution Analysis of S&P 500 Financial Turbulence. Journal of Mathematical Finance, 13, 67-88. doi: 10.4236/jmf.2023.131005.