Examine generalized lambda distribution fitting performance: An application to extreme share return in Malaysia
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 logisti...
Saved in:
Main Authors: | , , |
---|---|
Format: | Article |
Language: | English |
Published: |
Penerbit UTM Press
2017
|
Subjects: | |
Online Access: | http://eprints.utm.my/id/eprint/81294/1/MuhammadFadhilMarsani2017_ExamineGeneralizedLambdaDistributionFittingPerformance.pdf http://eprints.utm.my/id/eprint/81294/ http://dx.doi.org/10.11113/mjfas.v13n3.599 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
id |
my.utm.81294 |
---|---|
record_format |
eprints |
spelling |
my.utm.812942019-08-04T03:34:28Z http://eprints.utm.my/id/eprint/81294/ Examine generalized lambda distribution fitting performance: An application to extreme share return in Malaysia Marsani, Muhammad Fadhil Shabri, Ani Mat Jan, Nur Amalina QC Physics 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. Penerbit UTM Press 2017 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/81294/1/MuhammadFadhilMarsani2017_ExamineGeneralizedLambdaDistributionFittingPerformance.pdf 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 http://dx.doi.org/10.11113/mjfas.v13n3.599 DOI:10.11113/mjfas.v13n3.599 |
institution |
Universiti Teknologi Malaysia |
building |
UTM Library |
collection |
Institutional Repository |
continent |
Asia |
country |
Malaysia |
content_provider |
Universiti Teknologi Malaysia |
content_source |
UTM Institutional Repository |
url_provider |
http://eprints.utm.my/ |
language |
English |
topic |
QC Physics |
spellingShingle |
QC Physics Marsani, Muhammad Fadhil Shabri, Ani Mat Jan, Nur Amalina Examine generalized lambda distribution fitting performance: An application to extreme share return in Malaysia |
description |
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. |
format |
Article |
author |
Marsani, Muhammad Fadhil Shabri, Ani Mat Jan, Nur Amalina |
author_facet |
Marsani, Muhammad Fadhil Shabri, Ani Mat Jan, Nur Amalina |
author_sort |
Marsani, Muhammad Fadhil |
title |
Examine generalized lambda distribution fitting performance: An application to extreme share return in Malaysia |
title_short |
Examine generalized lambda distribution fitting performance: An application to extreme share return in Malaysia |
title_full |
Examine generalized lambda distribution fitting performance: An application to extreme share return in Malaysia |
title_fullStr |
Examine generalized lambda distribution fitting performance: An application to extreme share return in Malaysia |
title_full_unstemmed |
Examine generalized lambda distribution fitting performance: An application to extreme share return in Malaysia |
title_sort |
examine generalized lambda distribution fitting performance: an application to extreme share return in malaysia |
publisher |
Penerbit UTM Press |
publishDate |
2017 |
url |
http://eprints.utm.my/id/eprint/81294/1/MuhammadFadhilMarsani2017_ExamineGeneralizedLambdaDistributionFittingPerformance.pdf http://eprints.utm.my/id/eprint/81294/ http://dx.doi.org/10.11113/mjfas.v13n3.599 |
_version_ |
1643658668042878976 |
score |
13.18916 |