Table 3: The Hill tail index estimator for the left and right tails. The table reports the Hill tail index estimators for percent of the smallest (left-tail) and largest (right-tail) returns of the EGX 30 along with estimates of the mean, the 5 percent, 25 percent, 50 percent, 75 percent, and 95 percent quantiles of these statistics for the MOD1 and the MOD2, respectively, with asymptotic 95% confidence intervals shown in brackets. Computations are based on 5000 time series, each containing 4120 observations.

SeriesMean/quantileLeft-tail exponentRight-tail exponent

EGX 303.39 (3.24, 3.55)3.32 (3.24, 3.39)3.47 (3.43, 3.51)3.56 (3.43, 3.68)3.72 (3.66, 3.78)3.92 (3.88, 3.95)

MOD1 (Mean3.293.543.453.313.563.47
0.052.692.983.012.713.003.02
0.253.023.293.243.053.313.27
0.503.273.533.433.283.553.45
0.753.533.783.633.553.803.66
0.953.934.173.953.964.183.97

MOD2 ()Mean3.273.523.403.383.613.46
0.052.682.972.962.682.972.96
0.253.013.283.213.013.283.20
0.503.253.503.393.253.503.39
0.753.523.743.593.523.743.59
0.953.904.133.903.904.133.90