The Generalized Lambda Distribution and GLDEX Package for Fitting Financial Return Data – Part 2

Part 2 of a series by Daniel Hanson, with contributions by Steve Su (author of the GLDEX package) Recap of Part 1 In our previous article, we introduced the four-parameter Generalized Lambda Distribution (GLD) and looked at fitting a 20-year set of returns from the Wilshire 5000 Index, comparing the results of two methods, namely the Method of Moments, and the Method of Maximum Likelihood. Errata: One very important omission in Part 1, however, was not putting require(GLDEX) prior to the examples shown. Many thanks to a reader who pointed this out in the comments section last time. Let’s also...