Nzokem, Aubain Hilaire - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-28
The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (α …+αθδ) and variance α(θ2δ2+σ2θ). The data used for empirical analysis were obtained by fitting the five-parameter Variance-Gamma … (VG) model to the underlying distribution of the daily SPY ETF data. Regarding the application of the five-parameter VG …