Extreme Value Estimators for Stock Indices in ASEAN Economics Community

Chaitip, Prasert Ph.D. ., Chaiboonsri, Chukiat Ph.D. ., Boonsue, Sarun MA .


The paper examines the extremeValue-at-Risk
(VaR) model 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 based on extreme
value theory (EVT) was conducted to generate extremeVaR
estimates at the 99 percent confidence intervals. The paper
is tested utilizing Generalized Extreme Value Distribution
(GEV) was computed by using negative maximum natural
log of weekly returns with block maxima method on AEC
marketindices. And Generalized Pareto Distribution (GPD)
estimated by using natural log exceeding value of daily
returns of stock indices which set threshold limit flooring
value as specified and computed with threshold method.
According to calculated weekly returns of GEV and
calculated natural log of daily returns of GPD on AEC
market indices. The output results indicated that KLSE
extremeVaR in Malaysia was the AEC attractive equity
market when investors invest in these markets.

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