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Table 4 Risk measures (VaR and ES are in percentages)

From: Extreme value modelling of Ghana stock exchange index

Probability Value at risk (VaR) Expected shortfall (ES)
Measures of risk—right tail distribution (GPD fit)
 0.950 1.392526 3.549663
 0.975 2.079958 5.427241
 0.990 3.602491 9.585723
 0.995 5.509216 14.793548
 0.999 15.020921 40.772793
Measures of risk—left tail distribution (GPD fit)
 0.950 1.3429886 3.081368
 0.975 2.1260213 4.492982
 0.990 3.6116033 7.171118
 0.995 5.2149448 10.061545
 0.999 11.5398391 21.463761