On the Infinitely Divisible of Meixner Distribution

Dodi Devianto, Jayanti Herli, Maiyastri Maiyastri, Rahma Diana Safitri
2018 Science and Technology Indonesia  
The log-returns of most financial data show a significant leptokurtosis. For the better fit we showed a special levy process which is called the Meixner process. The Meixner distribution belongs to the class of infinitely divisible distribution chracterized by using characteristic function and it was proposed as a model for represented efficiently of the log-returns of financial data. The perfect fit of underlying Meixner distribution performing by using goodness of fit test.
doi:10.26554/sti.2018.3.4.147-150 fatcat:spbzsybrjnewzbkb26ca47eyly