Modelling the distribution of the extreme share returns in Singapore

Konstantinos Tolikas, Gareth Gettinby

Research output: Contribution to journalArticle

Abstract

This study aims to model the probability distribution of the extreme daily share returns in Singapore Stock Exchange over the period 1973 to 2005. For that reason the suitability of the Generalized Extreme Value (GEV), Generalized Pareto (GP) and Generalized Logistic (GL) distributions are investigated. The empirical results indicate that the GL distribution best fitted the empirical data over the period of study. Using the too much celebrated GEV and GP distributions for risk assessment could, therefore, lead to underestimation of the extreme risk which could potentially lead to inadequate protection against catastrophic losses.
Original languageEnglish
Pages (from-to)254-263
Number of pages9
JournalJournal of Empirical Finance
Volume16
Issue number2
DOIs
Publication statusPublished - 1 Mar 2009

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Singapore
Extreme values
Modeling
Logistics/distribution
Empirical data
Pareto
Empirical results
Risk assessment
Stock exchange
Probability distribution
Generalized Pareto distribution

Cite this

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Modelling the distribution of the extreme share returns in Singapore. / Tolikas, Konstantinos; Gettinby, Gareth.

In: Journal of Empirical Finance, Vol. 16, No. 2, 01.03.2009, p. 254-263.

Research output: Contribution to journalArticle

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