  The generalized hyperbolic (GH) distributions form a five parameter family of
probability distributions that includes many standard distributions as special
or limiting cases, such as the generalized inverse Gaussian distribution,
Student's $t$-distribution and the variance-gamma distribution, and thus the
normal, gamma and Laplace distributions. In this paper, we consider the GH
distribution in the context of Stein's method. In particular, we obtain a Stein
characterisation of the GH distribution that leads to a Stein equation for the
GH distribution. This Stein equation reduces to the Stein equations from the
current literature for the aforementioned distributions that arise as limiting
cases of the GH superclass.
