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The Distribution Analysis for Extreme Returns of Nikkei 225 Index: Based on the Extreme Value Distribution of GEV and GL

Archives of Business Research

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Field Value
 
Title The Distribution Analysis for Extreme Returns of Nikkei 225 Index: Based on the Extreme Value Distribution of GEV and GL
 
Creator An, Yuan
Duah, Ernest Agyemang
 
Description This paper focuses 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. 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 appropriate distribution for extreme returns of Nikkei225 Index 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. Keywords: Extreme Value Distribution, Generalized Logistic Distribution, Sub Period Technique, Probability Weighted Moments 
 
Publisher Archives of Business Research
 
Contributor —
 
Date 2017-01-26
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.scholarpublishing.org/index.php/ABR/article/view/2653
10.14738/abr.51.2653
 
Source Archives of Business Research; Vol 5, No 1 (2017): Archives of Business Research
2054-7404
10.14738/abr.51.2017
 
Language eng
 
Relation http://www.scholarpublishing.org/index.php/ABR/article/view/2653/1518
 
Rights Copyright (c) 2017 Archives of Business Research
http://creativecommons.org/licenses/by/4.0