Risk Analysis of Gold Prices in Pakistan Using Extreme Value Theory

Table 8

Output of Fisher Dispersion Index test statistics.

Threshold	Exceedances	R-statistic	C.I (1%)	C.I (5%)	Decision
Fisher Dispersion Index test for positive return
0.001	1068	42.62	1.74 < R < 23.59	2.70 < R < 19.20	Rejected
0.004	375	30.97	1.74 < R < 23.59	2.70 < R < 19.20	Rejected
0.008	99	15.44	1.74 < R < 23.59	2.70 < R < 19.20	Accepted
0.012	39	11.51	1.74 < R < 23.59	2.70 < R < 19.20	Accepted
Fisher Dispersion Index test for negative return
0.001	962	10.14	1.74 < R < 23.59	2.70 < R < 19.20	Accepted
0.003	493	17.89	1.74 < R < 23.59	2.70 < R < 19.20	Accepted
0.006	188	47.98	1.74 < R < 23.59	2.70 < R < 19.20	Rejected
0.009	81	59.62	1.74 < R < 23.59	2.70 < R < 19.20	Rejected