约翰内斯堡证券交易所金融市场数据行为的极值理论建模

IF 2.1 Q2 BUSINESS, FINANCE International Journal of Financial Studies Pub Date : 2023-11-03 DOI:10.3390/ijfs11040130
Maashele Kholofelo Metwane, Daniel Maposa
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引用次数: 0

摘要

金融市场数据中存在大量的异常值,寻找一种合适的极值理论(EVT)方法是极值统计研究中一个无休止的争论。本文采用EVT方法对约翰内斯堡证券交易所(JSE)的五年期每日全股总回报指数(ALSTRI)和每日美元(USD)兑南非兰特(ZAR)汇率进行建模。该研究比较了块最大值方法和峰值超过阈值(POT)方法在模拟金融市场数据方面的能力。发现块最大值方法的100年回报水平几乎等于ALSTRI和USD-ZAR的金融市场的最大观察值分别为10,860和R18.99。对于超过阈值的峰值(POT)方法,结果表明ALSTRI和USD-ZAR汇率将分别超过17,501.63和R23.72,至少100年一次。本研究的发现揭示了块最大值和POT回报水平估计之间的明显区别。POT方法的收益水平估计值相对高于块最大值估计值。研究进一步表明,混合广义极值(bGEVD)更适合于相对短期的预测,因为它在50年的回报水平上切断。因此,本研究将为统计和计量经济学的文献和知识增加价值。在未来的金融市场中,可以对bGEVD、vine copulas和r最大阶bGEVD进行更多的研究。
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Extreme Value Theory Modelling of the Behaviour of Johannesburg Stock Exchange Financial Market Data
Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-share total return index (ALSTRI) and the daily United States dollar (USD) against the South African rand (ZAR) exchange rate of the Johannesburg stock exchange (JSE). The study compares the block maxima approach and the peaks-over-threshold (POT) approach in terms of their ability to model financial market data. The 100-year return levels for the block maxima approach were found to be almost equal to the maximum observations of the financial markets of 10,860 and R18.99 for the ALSTRI and the USD–ZAR, respectively. For the peaks-over-threshold (POT) approach, the results show that the ALSTRI and the USD–ZAR exchange rate will surpass 17,501.63 and R23.72, respectively, at least once in 100 years. The findings in this study reveal a clear distinction between block maxima and POT return level estimates. The POT approach return level estimates were comparably higher than the block maxima estimates. The study further revealed that the blended generalised extreme value (bGEVD) is more suitable for relatively short-term forecasting, since it cuts off at the 50-year return level. Therefore, this study will add value to the literature and knowledge of statistics and econometrics. In the future, more studies on bGEVD, vine copulas, and the r-largest-order bGEVD can be conducted in the financial markets.
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来源期刊
CiteScore
3.70
自引率
8.70%
发文量
100
审稿时长
11 weeks
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