The study investigates the application of Extreme Value Theory in modelling stock prices, aiming to capture the tail behaviour and extreme movements that conventional distributions often fail to represent accurately. The use of Extreme Value Theory has gained considerable attention in the field of finance due to its ability to model rare events, such as financial crises or market crashes. By incorporating Extreme Value Theory, researchers aim to improve risk management, portfolio optimization, and pricing of financial derivatives. In this study, the Log-normal, Weibull, Gamma, and Normal distributions were used to model the stock price closing data, with a specific focus on extreme value distributions. Both graphical explorations and goodness-of-fit criteria were considered together to evaluate the suitability of these distributions. When assessing the data, it was observed that the Weibull distribution provided the best fit for the given stock price closing data.
Extreme value theory Tail behaviour Stock prices Risk management Generalized extreme value distribution
The study investigates the application of Extreme Value Theory in modelling stock prices, aiming to capture the tail behaviour and extreme movements that conventional distributions often fail to represent accurately. The use of Extreme Value Theory has gained considerable attention in the field of finance due to its ability to model rare events, such as financial crises or market crashes. By incorporating Extreme Value Theory, researchers aim to improve risk management, portfolio optimization, and pricing of financial derivatives. In this study, the Log-normal, Weibull, Gamma, and Normal distributions were used to model the stock price closing data, with a specific focus on extreme value distributions. Both graphical explorations and goodness-of-fit criteria were considered together to evaluate the suitability of these distributions. When assessing the data, it was observed that the Weibull distribution provided the best fit for the given stock price closing data.
Extreme value theory Generalized extreme value distribution Tail behaviour Stock prices Risk management
Birincil Dil | İngilizce |
---|---|
Konular | Uygulamalı İstatistik, İstatistik (Diğer) |
Bölüm | Makaleler |
Yazarlar | |
Yayımlanma Tarihi | 28 Haziran 2024 |
Yayımlandığı Sayı | Yıl 2024 Cilt: 25 Sayı: 2 |