A New Dagum-Cauchy{Exponential} Distribution

Abstract

This study proposed a four-parameter continuous distribution, called the Dagum-Cauchy{Exponential} Distribution (DCED) for modelling financial time series returns using the generalized family of Cauchy distribution by Alzaatreh et al. [1]. Some structural properties of this new distribution such as quantile function, reliability measures and hazard function, and order statistics are obtained. The method of maximum likelihood estimation was proposed in estimating its parameters. Finally, the distribution was used to model some financial datasets adequately.