A note on “Modelling exchange rate returns: which flexible distribution to use?”

Corlu and Corlu [Quant. Finance, 2014, doi: 10.1080/14697688.2014.942231] provided a novel modelling of exchange rate data for nine currencies using five flexible distributions. They stated that the generalized lambda, skew t and normal inverse Gaussian distributions ‘do a good job’. Here, we reanalyse the data and show that a distribution simpler than all of these fits at least as well as these distributions. We also find that the normal inverse Gaussian distribution provides good fits for only one of the data-sets.