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DDiscovery Research Portal (University of Dundee)1/1/2004

An analysis of the distribution of extreme returns in the UK from 1975 to 2000

G. Gettinby·Richard A. Brown·David Power·C. D. Sinclair
This paper seeks to characterise the distribution of extreme returns for a UK share index over the years 1975 to 2000. In particular, the suitability of the following distributions is investigated: Gumbel, Frechet, Weibull, Generalised Extreme Value, Generalised Pareto, Log-Normal and Generalised Logistic. Daily returns for the FT All Share index were obtained from Datastream, and the maxima and minima of these daily returns over a variety of selection intervals were calculated. Plots of summary
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Tags
Market Dynamics and VolatilityEconomics and EconometricsGumbel distributionExtreme value theoryWeibull distributionMaximaGeneralized extreme value distributionLogistic distributionStatisticsMathematicsMaxima and minimaEconometricsDistribution fittingGeneralized Pareto distributionDistribution (mathematics)Index (typography)Pareto distributionLogistic regressionEconomicsProbability distributionComputer science