Risk Analysis of Gold Prices in Pakistan Using Extreme Value Theory

Table 10

Point and interval estimates of Value at Risk and Expected Shortfall of GPA distribution.

Quantile	Threshold	Estimate	CI lower	CI upper
Value at Risk for positive returns
90-level	0.008	0.0185	0.0165	0.0217
95-level		0.0223	0.0193	0.0284
99-level		0.0325	0.0257	0.0541
90-level	0.012	0.0236	0.0204	0.0308
95-level		0.0276	0.0232	0.0425
99-level		0.0380	0.0289	0.0579
Value at Risk for negative returns
90-level	0.001	0.0085	0.0079	0.0091
95-level		0.0112	0.0104	0.0122
99-level		0.0185	0.0165	0.0213
90-level	0.003	0.0110	0.0102	0.0120
95-level		0.0114	0.0129	0.0159
99-level		0.0231	0.0197	0.0287
Expected Shortfall for positive returns
90-level	0.008	0.0245	0.0206	0.0357
95-level		0.0288	0.0233	0.0474
99-level		0.0406	0.0294	0.0579
90-level	0.012	0.0298	0.0244	0.0578
95-level		0.0342	0.0269	0.0579
99-level		0.0458	0.0319	0.0579
Expected Shortfall for negative returns
90-level	0.001	0.0128	0.0119	0.0142
95-level		0.0159	0.0143	0.0181
99-level		0.0242	0.0208	0.0295
90-level	0.003	0.0162	0.0144	0.0191
95-level		0.0199	0.0172	0.0246
99-level		0.0308	0.0246	0.0427