Extreme risk in resource indices and the generalized logistic distribution
The resource sector accounts for a substantial proportion of market capitalization on the US and South African stock exchanges. Hence, severe movements in related stock prices can drastically affect the risk profile of the entire market. Extreme value theory provides a basis for evaluating and forec...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/68019 |
| _version_ | 1848761720240078848 |
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| author | Huang, Chun-Kai Pather, V. Hammujuddy, J. Chinhamu, K. |
| author_facet | Huang, Chun-Kai Pather, V. Hammujuddy, J. Chinhamu, K. |
| author_sort | Huang, Chun-Kai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The resource sector accounts for a substantial proportion of market capitalization on the US and South African stock exchanges. Hence, severe movements in related stock prices can drastically affect the risk profile of the entire market. Extreme value theory provides a basis for evaluating and forecasting such sporadic occurrences. In this article, we compare performances of classical extreme value models against the recently suggested generalized logistic distribution, for estimating value-at-risk and expected shortfall in resource indices. Our results suggest a significant difference in risk behavior between the two markets and the generalized logistic distribution does not always outperform classical models, as previous work may have suggested. |
| first_indexed | 2025-11-14T10:36:09Z |
| format | Journal Article |
| id | curtin-20.500.11937-68019 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:36:09Z |
| publishDate | 2017 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-680192018-09-21T00:25:21Z Extreme risk in resource indices and the generalized logistic distribution Huang, Chun-Kai Pather, V. Hammujuddy, J. Chinhamu, K. The resource sector accounts for a substantial proportion of market capitalization on the US and South African stock exchanges. Hence, severe movements in related stock prices can drastically affect the risk profile of the entire market. Extreme value theory provides a basis for evaluating and forecasting such sporadic occurrences. In this article, we compare performances of classical extreme value models against the recently suggested generalized logistic distribution, for estimating value-at-risk and expected shortfall in resource indices. Our results suggest a significant difference in risk behavior between the two markets and the generalized logistic distribution does not always outperform classical models, as previous work may have suggested. 2017 Journal Article http://hdl.handle.net/20.500.11937/68019 10.19030/jabr.v33i2.9899 http://creativecommons.org/licenses/by/4.0/ fulltext |
| spellingShingle | Huang, Chun-Kai Pather, V. Hammujuddy, J. Chinhamu, K. Extreme risk in resource indices and the generalized logistic distribution |
| title | Extreme risk in resource indices and the generalized logistic distribution |
| title_full | Extreme risk in resource indices and the generalized logistic distribution |
| title_fullStr | Extreme risk in resource indices and the generalized logistic distribution |
| title_full_unstemmed | Extreme risk in resource indices and the generalized logistic distribution |
| title_short | Extreme risk in resource indices and the generalized logistic distribution |
| title_sort | extreme risk in resource indices and the generalized logistic distribution |
| url | http://hdl.handle.net/20.500.11937/68019 |