Research Article
A New Exponential-X Family: Modeling Extreme Value Data in the Finance Sector
Table 6
VaR and TVaR results for the NE-Weibull and Weibull distributions.
| Distribution | Parameters | Level of significance | VaR | TVaR |
| NE-Weibull |
| 0.700 | 145.8537 | 153.9659 | 0.750 | 153.5376 | 179.2175 | 0.800 | 168.5360 | 198.7654 | 0.850 | 192.3638 | 218.7189 | 0.900 | 209.8965 | 231.9876 | 0.950 | 224.0768 | 249.0786 | 0.975 | 239.7853 | 268.0298 | 0.999 | 253.6358 | 287.0948 |
| Weibull |
| 0.700 | 70.3462 | 89.7568 | 0.750 | 77.7643 | 101.8539 | 0.800 | 83.8743 | 115.7943 | 0.850 | 98.3245 | 135.8764 | 0.900 | 120.5643 | 156.9875 | 0.950 | 142.6750 | 179.9876 | 0.975 | 176.7656 | 201.9875 | 0.999 | 202.6752 | 230.9786 |
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