[R-SIG-Finance] Rmetrics gpdFit & fitting an entire distribution

[Brian G. Peterson]

Dale Smith wrote:
> Hi there,
> 
> We are interested in fitting a generalized pareto distribution to the 
> tails of our
> stock returns, with a kernel fit to the remainder. We looked at gpdFit, 
> but it fits
> tails, instead of the entire distribution. We thought gpdFit worked 
> like the corresponding
> function in FinMetrics – gpd.tail. Alas, gpdFit in fExtremes works 
> differently,
> by fitting tails only, instead of the entire distribution.
> 
> I looked at the archives for information on this problem, but didn’t 
> find anything.
> At this point, we plan to fit each tail separately, and fit the middle 
> of the distribution
> with another non-parametric method. We are really looking for the 
> quantiles of the
> fitted distribution.
> 
> Has anyone done this before, and might be willing to share the 
> algorithm they used?

On first inspection, it looks like the underlying function 'gpd' would
fit the entire distribution.

You may also wish to examine the code for the VaR.gpd function from
package VaR to get another log-liklihood gpd estimate

Cheers,

    - Brian