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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