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 dai...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2020
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| Online Access: | http://journalarticle.ukm.my/15408/ http://journalarticle.ukm.my/15408/1/21.pdf |
| _version_ | 1848813793475297280 |
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| author | Muhammad Fadhil Marsani, Ani Shabri, |
| author_facet | Muhammad Fadhil Marsani, Ani Shabri, |
| author_sort | Muhammad Fadhil Marsani, |
| building | UKM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T00:23:50Z |
| format | Article |
| id | oai:generic.eprints.org:15408 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T00:23:50Z |
| publishDate | 2020 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org:154082020-10-23T01:31:10Z http://journalarticle.ukm.my/15408/ Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return Muhammad Fadhil Marsani, Ani Shabri, 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 application/pdf en http://journalarticle.ukm.my/15408/1/21.pdf Muhammad Fadhil Marsani, and Ani Shabri, (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://www.ukm.my/jsm/malay_journals/jilid49bil5_2020/KandunganJilid49Bil5_2020.html |
| spellingShingle | Muhammad Fadhil Marsani, Ani Shabri, Two stages fitting techniques using generalized lambda distribution: application on Malaysian financial return |
| title | 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_short | 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 |
| url | http://journalarticle.ukm.my/15408/ http://journalarticle.ukm.my/15408/ http://journalarticle.ukm.my/15408/1/21.pdf |