title: Datasets for testing the performances of jump diffusion models.
abstract: This article contains datasets related to the research article titled a novel jump diffusion model based on SGT distribution and its applications ("A novel jump diffusion model based on SGT distribution and its applications" (W.J. Xu, G.F. Liu, H.Y. Li, 2016) [1]). The datasets contain continuous composite daily percentage return values which are computed from the daily closing prices. Firstly, we describe statistical properties of the datasets. Then, the datasets are split into two samples, the in-sample data and out-of-sample data. The datasets can be used as benchmarks for testing the performances of jump diffusion models.
authors.affiliation: School of Business Administration, South China University of Technology, Guangzhou 510640, China.
authors.forename: Weijun
authors.initials: W
authors.lastname: Xu
authors.affiliation: School of Business Administration, South China University of Technology, Guangzhou 510640, China.
authors.forename: Guifang
authors.initials: G
authors.lastname: Liu
authors.affiliation: Business School, Chinese University of Hong Kong, Shatin, NT, Hong Kong.
authors.forename: Hongyi
authors.initials: H
authors.lastname: Li