MCFAM Seminar Series: “Modeling heteroscedastic, skewed, and leptokurtic returns in discrete time"

Please join us for our next seminar of fall semester! This seminar will feature Joseph Ivivi Mwaniki from the University of Nairobi who will discuss modeling heteroscedastic, skewed, and leptokurtic returns in discrete time.

Zoom meeting link

About the lecture
Popular models of finance, fall short of accounting for most empirically found stylized features of financial time series data, such as volatility clustering, skewness and leptokurtic nature of log returns. In this study we propose a general framework for modeling asset returns which account for serial dependencies in higher moments and leptokurtic nature of scaled GARCH filtered residuals. Such residuals are calibrated to normal inverse Gaussian and hyperbolic distribution. Dynamics of risky assets assumed in Black Scholes model, Duans(1995) GARCH model and other benchmark models for option valuation, are shown to be nested in the proposed framework. Different sets of data are used to support the proposed framework.

About the speaker
Joseph Ivivi Mwaniki is an associate professor of financial mathematics and statistics at the University of Nairobi. He is also head of the Financial and Actuarial mathematics division at the University's School of Mathematics.