Modelling Extreme values of the PX Index returns

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F18%3A39913168" target="_blank" >RIV/00216275:25410/18:39913168 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Modelling Extreme values of the PX Index returns
Original language description
In this contribution we focused on the daily log returns of investment in the Prague stock exchange index, PX-Index. We analysed data from January 1st, 1995 to June 30th, 2018. We can see that the data has fatter left and right-hand tails than the normal distribution. Conclusions of our basic analysis are that the daily log returns are leptokurtic and heavy tailed. They are not i.i.d. and volatility varies over time. Further we investigated extreme values of daily log returns. The focus is on how Extreme Value Theory fares in contrast to the assumption of normally distributed losses. Also we can say that extreme daily log returns appear in clusters.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 9-th International scientific Conference - Managing and Modelling of Financial risks 2018
ISBN
978-80-248-4225-7
ISSN
2464-6970
e-ISSN
2464-6989
Number of pages
9
Pages from-to
129-137
Publisher name
Vysoká škola báňská-Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 5, 2018
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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