The POT Model for the Stationary Sequenceand Its Application in Computing Value-at-Rrisk of Exchange Rates
Shi Dao-ji · Systems Engineering · 2004
The classic extreme value theory requests that sequence is independent and has identical distribution. We intro- (duce) the extremal index under the assumption that the sequence is stationary, and build a POT model by using the method of declustering, then calculate the estimates of VaR and CVaR. The computation result of JPY/USD foreign exchange rate presented at last proves that the accurate for the estimations has been improved by introducing the extremal index.