Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach (Q5049418)

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scientific article; zbMATH DE number 7615528
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Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach
scientific article; zbMATH DE number 7615528

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    Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach (English)
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    11 November 2022
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    extreme value theory
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    \(\mathrm{MS(2)}\)-\(\mathrm{EGARCH}(p,q)\)
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    fat-tail
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    volatility clustering
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    generalized extreme value
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    generalized Pareto distribution
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    independently and identically distributed
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    block minima method
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    maximum likelihood estimation
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