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Table 3 Results from fitting the GPD model

From: Extreme value modelling of Ghana stock exchange index

Estimate MLE PWM
Right tail Left tail Right tail Left tail
\( u = 0.8 \) \( u = 0.15 \) \( u = 0.8 \) \( u = 0.15 \)
Shape parameter \( (\hat{\xi }) \) 0.6339 0.4455 0.6147 0.43
Conf. interval (lower, upper) (0.3968, 0.8702) (0.2777, 0.6133) (0.2871, 0.7994) (0.2647, 0.6021)
Std. error 0.12097 0.0856 0.12064
Scale parameter \( (\hat{\sigma }) \) 0.4142 0.4329 0.4153 0.4348
Conf. interval (lower, upper) (0.3048, 0.5237) (0.3482, 0.5177) (0.3139, 0.5622) (0.3492, 0.5201)
Std. error 0.05584 0.04323 0.1306 0.04863