Like in the case of SGT and SGED, the results for IHS and EGB2 indicate that the S&P 500 log-returns exhibit skewness and significant excess kurtosis.
The SGED performs better than the normal distribution, however, its MA percentE's is slightly greater than those of the other flexible distributions.
In general, the SGED and EBG2 distributions also produce accurate VaR measures with few exceptions for the minimal returns: the 2 percent VaR estimates of EGB2, and the 2 percent, 2.
The SGT, EGB2, and IHS distributions produce very similar VaR thresholds for the standardized returns and generally perform better than the SGED distribution.
All three distributions provide produce similar VaR thresholds and perform better than the SGED and the normal distributions in approximating the extreme tails of the return distribution.