Adjusted Extreme Conditional Quantile Autoregression with Application to Risk Measurement

Table 1

Sample statistics.

	0	0.50	0.75	0.95	0.99
Minimum	−15.81	−3.58	−2.80	−0.73	1.76
Median	0.67 (0.01, 1.38)	0.65 (0.48, 0.83)	1.15 (0.99, 1.32)	2.47 (2.34, 2.61)	4.07 (3.97, 4.17)
Mean  SD	0.69 1.41	0.66 0.36	1.16 0.34	2.48 0.27	4.07 0.20
Maximum	10.69	3.22	3.55	4.42	5.47

, lower quartile; , upper quartile; SD, standard deviation.