Modeling of extreme returns on the basis of intraday data Cover Image

Modelowanie wartości ekstremalnych stóp zwrotu na podstawie danych śróddziennych
Modeling of extreme returns on the basis of intraday data

Author(s): Krzysztof Echaust
Subject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: fat tails; intraday returns; extreme value theory; dependence

Summary/Abstract: The undeniable fact is that the distributions of returns of financial instruments, on a daily or shorter period of time, differ from the normal distribution because they are characterized by fat tails. This paper presents the results of empirical research on the properties of the returns distribution tails and compares left and right distribution tails of the intraday returns in several time scales. Peaks Over Threshold Model for assessing the tail thickness and Ferro-Segers extremal index to evaluate clustering extreme values are used. The study was carried out based on the exchange rates of USD/PLN and EUR/PLN in 2010- -2014. It shows the difference between the tails of distributions depending on a time scale and taking into account the left or right tail of the distribution.

  • Issue Year: 2016
  • Issue No: 446
  • Page Range: 9-20
  • Page Count: 12
  • Language: Polish