Dopasowanie rozkładów teoretycznych do empirycznych rozkładów stóp zwrotu wybranych indeksów giełdowych i spółek
Fitting Theoretical Distributions to Empirical Distributions of Return on Selected Stock Exchange Indices and Companies

Summary/Abstract: Purpose – The aim of the paper is to examine the methods of approximation of empirical distributions of stock return rates using the Gaussian and Laplace distributions, and to propose modification of theevaluation of location and scale parameters determined for that purpose by means of the Maximum LikelihoodMethod (MLM). Methodology – As a part of the research, the approximation of empirical distributions of return rates on selected Warsaw Stock Exchange indices and companies was performed using the Gaussian and Laplace distributions.Starting from the distribution parameters obtained through MLM, the value of estimation of scale and location parameters was changed. As a criterion, the minimum value of goodness of fit test statistic was adopted for the following distributions: chi-square, Kolmogorov and Kolmogorov-Lilliefors. Findings – Much better fit of theoretical distributions to empirical data was obtained compared to estimationsof the parameters obtained through MLM.Originality/Value – The proposed method increases the number of cases of a positive result of x2 test for modeling empirical distributions of return rates on selected stock exchange indices and companies with the normal distribution.

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