Evaluating risk in precious metal prices with generalised lambda, generalised pareto and generalised extreme value distributions
In this study we investigate the performance of the generalised lambda distribution (GLD), the generalised Pareto distribution (GPD) and the generalised extreme value distribution (GEVD) in modelling daily platinum, gold and silver price log-returns. Our primary goal is to compare GLD against GPD, a...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/67534 |
| _version_ | 1848761590751428608 |
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| author | Chinhamu, K. Huang, Chun-Kai Chikobvu, D. |
| author_facet | Chinhamu, K. Huang, Chun-Kai Chikobvu, D. |
| author_sort | Chinhamu, K. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | In this study we investigate the performance of the generalised lambda distribution (GLD), the generalised Pareto distribution (GPD) and the generalised extreme value distribution (GEVD) in modelling daily platinum, gold and silver price log-returns. Our primary goal is to compare GLD against GPD, and GEVD, in the estimation of Value-at-Risk (VaR) and expected shortfall (ES) as per the international Basel regulatory framework. Our analyses show that GPD and GLD generally outperform GEVD for VaR and ES estimation for negative precious metal returns. For gold, the GPD stands out as the most suitable model. For platinum, GPD and GLD are equally adequate,especially at the 1% VaR level. For silver, GLD is the most suitable at 1% VaR level, whereas GPD is the best model at 0.1%. This study has shown that GLD is a suitable model for extreme risk in precious metal prices and can be used for the estimation of VaR and ES values. |
| first_indexed | 2025-11-14T10:34:06Z |
| format | Journal Article |
| id | curtin-20.500.11937-67534 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:34:06Z |
| publishDate | 2017 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-675342018-05-18T07:58:54Z Evaluating risk in precious metal prices with generalised lambda, generalised pareto and generalised extreme value distributions Chinhamu, K. Huang, Chun-Kai Chikobvu, D. In this study we investigate the performance of the generalised lambda distribution (GLD), the generalised Pareto distribution (GPD) and the generalised extreme value distribution (GEVD) in modelling daily platinum, gold and silver price log-returns. Our primary goal is to compare GLD against GPD, and GEVD, in the estimation of Value-at-Risk (VaR) and expected shortfall (ES) as per the international Basel regulatory framework. Our analyses show that GPD and GLD generally outperform GEVD for VaR and ES estimation for negative precious metal returns. For gold, the GPD stands out as the most suitable model. For platinum, GPD and GLD are equally adequate,especially at the 1% VaR level. For silver, GLD is the most suitable at 1% VaR level, whereas GPD is the best model at 0.1%. This study has shown that GLD is a suitable model for extreme risk in precious metal prices and can be used for the estimation of VaR and ES values. 2017 Journal Article http://hdl.handle.net/20.500.11937/67534 restricted |
| spellingShingle | Chinhamu, K. Huang, Chun-Kai Chikobvu, D. Evaluating risk in precious metal prices with generalised lambda, generalised pareto and generalised extreme value distributions |
| title | Evaluating risk in precious metal prices with generalised lambda, generalised pareto and generalised extreme value distributions |
| title_full | Evaluating risk in precious metal prices with generalised lambda, generalised pareto and generalised extreme value distributions |
| title_fullStr | Evaluating risk in precious metal prices with generalised lambda, generalised pareto and generalised extreme value distributions |
| title_full_unstemmed | Evaluating risk in precious metal prices with generalised lambda, generalised pareto and generalised extreme value distributions |
| title_short | Evaluating risk in precious metal prices with generalised lambda, generalised pareto and generalised extreme value distributions |
| title_sort | evaluating risk in precious metal prices with generalised lambda, generalised pareto and generalised extreme value distributions |
| url | http://hdl.handle.net/20.500.11937/67534 |