The Appropriate Extreme Value Distribution for Extreme Returns: A Look at GEV& GL

Authors

  • Yuan An

DOI:

https://doi.org/10.14738/assrj.311.2371

Abstract

We focus on the problem of modelling extreme events in the financial market. The choice of the distribution that adequately models the extreme behavior of the financial time series. Extreme Value Theory outlines the framework for determining the best fit distribution for the data. However, the generalized extreme value distribution and the generalized Pareto distribution are the traditional distributions that most analysts resort to using. However, recent works have shown that the generalized logistic distribution can also capture the effect of the extreme due to its fat tailed characteristic. In this paper, we determine if this is true and analyze the importance of the generalized logistic distribution in modelling extreme events in the financial market in order to accurately conduct risk measure analysis. 

References

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Published

2016-11-22

How to Cite

An, Y. (2016). The Appropriate Extreme Value Distribution for Extreme Returns: A Look at GEV& GL. Advances in Social Sciences Research Journal, 3(11). https://doi.org/10.14738/assrj.311.2371

Issue

Vol. 3 No. 11 (2016): Advances in Social Sciences Research Journal

Section

Articles

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