Research Article
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 |
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