Return Rates of WIG20 Index in the Situation of Extreme Tide Turning on the Warsaw Stock Exchange

In the paper the authors presented analysis of fitting the following distributions: normal, t-Student, α-stable, hyperbolic, generalized hyperbolic, normal inverse Gaussian, generalized hyperbolic t-Student and general error distribution to the empirical series of WIG20 returns in the situation of extreme tide turning on the WSE. There were analysed daily logarithmic rates of returns of WIG20 index quoted on the WSE in two periods: the period of intensive rising trend 17 May 2005-05 July 2007 and the period of intensive declining trend 06 July 2007-17 February 2009. The results of the study show that the characteristics of real rates of returns art the best reflected by the same distributions in the both analysed periods. The best fitted distributions belong to the family of generalized hyperbolic distributions.