Article ID Journal Published Year Pages File Type
981900 Procedia Economics and Finance 2013 5 Pages PDF
Abstract

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.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics