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.