Research Article
Risk Analysis of Gold Prices in Pakistan Using Extreme Value Theory
Table 7
Maximum likelihood estimates of fitted GPA distribution under different thresholds’ level.
| Threshold | # of exceed | Probability less threshold | Shape parameter (standard error) | Scale parameter than (standard error) |
| Parameter estimate for positive returns |
| 0.001 | 1068 | 0.2382 | 0.0989 (0.02895) | 0.0028 (0.00007) | 0.004 | 375 | 0.7325 | 0.1530 (0.05438) | 0.0029 (0.00015) | 0.008 | 99 | 0.9294 | 0.1282 (0.11608) | 0.0039 (0.00049) | 0.012 | 39 | 0.9722 | 0.0978 (0.18580) | 0.0045 (0.00094) |
| Parameter estimate for negative returns |
| 0.001 | 962 | 0.2623 | 0.1251 (0.03247) | 0.0028 (0.00008) | 0.003 | 493 | 0.6219 | 0.1762 (0.05001) | 0.0029 (0.00013) | 0.006 | 188 | 0.8558 | 0.1508 (0.08331) | 0.0034 (0.00029) | 0.009 | 81 | 0.9378 | 0.1443 (0.14659) | 0.0040 (0.00061) |
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