Value at Risk Estimation Using Extreme Value Theory Approach in Indonesia Stock Exchange
Fadhila Febriyanti Najamuddin,
Erna Tri Herdiani,
Andi Kresna Jaya
Abstract:Extreme Value Theory (EVT) is a method used to identify extreme cases in heavy tail data such as financial time series data. This research aimed to obtain an estimate of stock risk through the EVT approach and compare the accuracy of the two EVT approaches, Block Maxima (BM) and Peaks Over Threshold (POT). The method used to estimate stock risk is VaR with the BM and POT approaches, and the Z statistic is used to compare the accuracy. The data used, and the limitation in this research is daily closing price da… Show more
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