Fitting Generalized Pareto Distribution to Extreme Daily Return in Financial Market
Gu Lan · Application of Statistics and Management · 2006
Based on extreme value theory and methods,generalized Pareto models are established to extreme daily return to Shanghai stock index,and return levels and upper tail probability are worked out by using the models.Compared with after implementing the system of stopping board of rise and drop,the upper tail of the return before this system is apparently heavier,and this result illustrates the system can efficiently control the speculation phenomena in stock mafket,therefore reduces the profit and loss risk.