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)