(a) EGX 30
(b) MOD1 ()
(c) MOD2 ()
Figure 5: The Hill plot of the smallest 10 percent observations (on the left-hand sides) and the largest 10 percent observations (on the right-hand sides) for (a) the EGX 30, (b) the MOD1, and (c) the MOD2. Here we plot Hill tail-index estimator against . Regressions on the smallest (largest) 10 percent of the observations yield a Hill tail index estimator equal to () for the EGX 30, () for the MOD1, and () for the MOD2.