%0 Journal Article
%T Distribution Analysis of S&P 500 Financial Turbulence
%A Hugo Gobato Souto
%J Journal of Mathematical Finance
%P 67-88
%@ 2162-2442
%D 2023
%I Scientific Research Publishing
%R 10.4236/jmf.2023.131005
%X 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.
%K Financial Turbulence
%K Generalised Hyperbolic Distribution
%K S&amp
%K P 500
%K Goodness-of-Fit Tests
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=123148