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

• Main Authors: Marsani, Muhammad Fadhil, Shabri, Ani, Mat Jan, Nur Amalina
• Format: Article
• Language: English
• Published: Penerbit UTM Press 2017
• Subjects: QC Physics
• 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

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...