Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return

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...

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Main Authors: Marsani, Muhammad Fadhil, Shabri, Ani
Format: Article
Published: Penerbit Universiti Kebangsaan Malaysia 2020
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Online Access:http://eprints.utm.my/id/eprint/91112/
http://dx.doi.org/10.17576/jsm-2020-4905-21
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spelling my.utm.911122021-05-31T13:29:30Z http://eprints.utm.my/id/eprint/91112/ Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return Marsani, Muhammad Fadhil Shabri, Ani QA Mathematics 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 performance of the TS-GLD models had been evaluated using Monte Carlo simulation and Malaysian Kuala Lumpur Composite Index (KLCI) returns from year 2001 to 2015. Based on k-sample Anderson darling goodness of fit test, the two stages GLD model in location parameter (GLD.1) performed well in all studied cases. The GLD.1 model benefits risk management by providing effective distribution fitting. Penerbit Universiti Kebangsaan Malaysia 2020-05 Article PeerReviewed Marsani, Muhammad Fadhil and Shabri, Ani (2020) Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return. Sains Malaysiana, 49 (5). pp. 1153-1164. ISSN 0126-6039 http://dx.doi.org/10.17576/jsm-2020-4905-21
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/
topic QA Mathematics
spellingShingle QA Mathematics
Marsani, Muhammad Fadhil
Shabri, Ani
Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return
description 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 performance of the TS-GLD models had been evaluated using Monte Carlo simulation and Malaysian Kuala Lumpur Composite Index (KLCI) returns from year 2001 to 2015. Based on k-sample Anderson darling goodness of fit test, the two stages GLD model in location parameter (GLD.1) performed well in all studied cases. The GLD.1 model benefits risk management by providing effective distribution fitting.
format Article
author Marsani, Muhammad Fadhil
Shabri, Ani
author_facet Marsani, Muhammad Fadhil
Shabri, Ani
author_sort Marsani, Muhammad Fadhil
title Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return
title_short Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return
title_full Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return
title_fullStr Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return
title_full_unstemmed Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return
title_sort two stages fitting techniques using generalized lambda distribution: application on malaysian financial return
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2020
url http://eprints.utm.my/id/eprint/91112/
http://dx.doi.org/10.17576/jsm-2020-4905-21
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