Research Article
Risk Analysis of Gold Prices in Pakistan Using Extreme Value Theory
Table 9
Goodness-of-fit of GPA distribution for both positive and negative returns.
| Goodness-of-fit for positive return |
| Threshold value | 0.008 | 0.012 | No. of exceedances | 99 | 39 | K-S test ( value) | 0.1105 (0.1653) | 0.1173 (0.6145) | A-D test ( value) | 0.3312 (0.9128) | 1.0893 (0.3132) |
| Goodness-of-fit for negative return |
| Threshold value | 0.001 | 0.003 | No. of exceedances | 962 | 493 | K-S test ( value) | 0.0325 (0.2616) | 0.0448 (0.2753) | A-D test ( value) | 0.2909 (0.9453) | 0.4512 (0.7968) |
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