New distribution model revolutionizes financial data analysis for better predictions.
The researchers created a new statistical model called Normal Weighted Inverse Gaussian (NWIG) distribution to better capture the characteristics of non-normal financial data. They combined two special cases of Generalized Inverse Gaussian distribution to create this model. By using a mixture of these distributions, they were able to fit the data well and show that the NWIG distribution is flexible and effective for analyzing skewed and heavy-tailed data.