Universiti Teknologi Malaysia Institutional Repository

Examine generalized lambda distribution fitting performance: An application to extreme share return in Malaysia

Marsani, Muhammad Fadhil and Shabri, Ani and Mat Jan, Nur Amalina (2017) Examine generalized lambda distribution fitting performance: An application to extreme share return in Malaysia. Malaysian Journal of Fundamental and Applied Sciences, 13 (3). ISSN 2289-5981

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Official URL: http://dx.doi.org/10.11113/mjfas.v13n3.599

Abstract

Understand the extreme volatility in the market is important for the investor to make a correct prediction. This paper evaluated the performance of generalized lambda distribution (GLD) by comparing with the popular probability distribution namely generalized extreme value (GEV), Generalized logistic (GLO), generalized Pareto (GPA), and Pearson (PE3) using Kuala Lumpur composite index stock return data. The parameter for each distribution estimated using the L-moment method. Based on k-sample Anderson darling goodness of fit test, GLD performs well in weekly maximum and minimum period. Evidence for preferring GLD as an alternative to extreme value theory distribution also described.

Item Type:Article
Uncontrolled Keywords:extreme share returns, kuala lumpur composite index (KLCI), l-moment
Subjects:Q Science > QC Physics
Divisions:Science
ID Code:81294
Deposited By: Narimah Nawil
Deposited On:04 Aug 2019 11:34
Last Modified:04 Aug 2019 11:34

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