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Two Stages Fitting Techniques using Generalized Lambda Distribution: Application on Malaysian Financial Return
2020
Sains Malaysiana
The underline distribution assumption used in the analysis of share market returns is crucial in risk management. An important aspect related to stock return modelling is to obtain accurate prediction. This paper presents an innovative fitting method called two stages (TS) method for modelling daily stock returns. The proposed approach by first establishing trend in the series, and then separately performing L-moment estimation on the generalized lambda distribution (GLD) parameter. The
doi:10.17576/jsm-2020-4905-21
fatcat:hcn3qqhq3jdfrgdo5cp6jgaeom