Economics, Econometrics and Finance
4 years ago
Conditional EVT method predicts extreme market risks with highest accuracy.
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Paper Summary
The study compared different methods for predicting extreme losses in stock markets. They looked at various Value at Risk models and focused on Extreme Value Theory techniques. By analyzing daily returns from the Tunisian and CAC 40 stock indexes, they found that the conditional Peaks over Threshold EVT method was the most accurate in forecasting extreme losses. The conditional Block Maxima EVT method was less accurate in comparison.