ExtremeVaR of South East Asian Stock Indices with Extreme Distribution- based Efficiency

The paper examines extremeValue-at-Risk (extremeVaR) model using median with daily stock indices of selected South East Asian countries consisting of SET index (Thailand), KLSE index (Malaysia), FTSI index (Singapore), and JKSE index (Indonesia). Additionally, the experiment using extreme value theory (EVT) was tested by Generalized Pareto Distribution (GPD) which has the characteristics of cumulative distribution function (CDF), or just distribution function, describes the probability that a subjective-valued random. The output results indicated that using median of KLSE extremeVaR in Malaysia was the AEC efficient equity for investing in these markets.