Calibrate SX5E Returns to a Student's-t distribution in Excel
- Download SX5E historical prices from 1987 to the present (using Bloomberg or Thomson Reuters if possible).
- Calibrate the two parameters υ and λ via the explicit moment-matching formulas.
- Choose µ = 0 (the returns should have been mean adjusted at this stage).
- Choose the discretized x-space carefully.
- Graph both empirical and theoretical distributions using a log graph.
- Use the Excel function GAMMALN (), which is the natural log of Γ(p)
