How to obtain the unconditional distribution graph?

[fr4014]

I would like to plot the unconditional distribution of a series over the sample period. I found this reported in a research paper and would like to report the same.

If I am not clear in my request, here is the description the author gave:

In Figs. 4–6, we also plot the unconditional distribution of the UK returns over the sample period in bold, together with the unconditional distribution of a set of normal variates with the same mean and variance.

I have attached the image of the graph author reported. I would like to know how to estimate the same.