Professor of Finance at Faculty of Management & Social Sciences, Capital University of Science & Technology, Islamabad, Pakistan
Research Article
Evaluation of Risk Modelling in Emerging Equity Markets through the Lens of Extreme Value Theory
Author(s): Zarmina Ali Khan* and Arshad Hassan
Purpose: This study analyse the asymptotic behavior of the tails of the return distributions in emerging markets through the lens of extreme value
theory. It estimates and compares efficacy of the EVT based value at risk in emerging markets like Brazil(Bo Vespa), Russia(MOEX), India(Nifty
50), Bahrain(Share BAX), China(Shanghai), Colombia(COLCAP), Malaysia(FTSE), Thailand(SET INDEX), Argentina(Marvel), Bangladesh(Dhaka
Stock Exchange), Pakistan(KSE 100) and Sri Lanka(CSE)) by using daily data for the period 2000-2018.
Methodology: The study employs block maxima model (BMM) based on generalized extreme value distribution (GEV) and peak over threshold
model (POTM) based on generalized Pareto distribution (GPD). Peak over threshold model is applied under the assumption of unconditional and
conditional volatility. Use of condit.. Read More»
DOI:
10.37421/ 2162-6359.2022.11.629
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