3 0016 4 3 0019 53 0019 4 1 002375 002315 00214 4

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Unformatted text preview: 00 0.019 53 0.01857 0.0176 6 0.016 6 1 0.016 36 0.016 00 0.01701 0.0159 9 0.0156 6 0.01509 0.014 22 0.0136 2 0.0139 0 0.01373 0.01354 0.01330 0.01357 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 -6.0325 -4.1305 -3.9187 -3.4086 -3.3796 -3.3198 -3.2581 -3.2372 -3.2118 -3.1646 -3.1519 -3.1468 -3.1285 -3.0066 -2.9608 -2.9344 -2.8429 -2.8190 -2.7834 -2.7601 -2.7308 -2.6983 -2.6760 -2.6562 -2.6247 -2.6210 -2.5671 -2.5660 -2.5460 -2.5149 -2.5119 -2.5112 -2.5019 -2.4742 -2.4692 -2.4637 -2.4494 -2.4477 -2.4368 -2.3918 -2.3780 -2.3653 -2.3511 -2.3216 -2.3128 -2.2981 -2.2857 -2.2857 -2.2627 -2.2447 Hill Estimator u Tu c -2.225 50 0.215 0.819 Quantile (q) 0.990 ξ EVT Left Tail Quantile -5.993 -4.731 -4.239 -3.943 -3.735 -3.577 -3.451 -3.346 -3.258 -3.180 -3.113 -3.052 -2.998 -2.949 -2.904 -2.863 -2.824 -2.789 -2.756 -2.725 -2.695 -2.668 -2.642 -2.617 -2.594 -2.572 -2.551 -2.530 -2.511 -2.492 -2.475 -2.457 -2.441 -2.425 -2.410 -2.395 -2.381 -2.367 -2.354 -2.341 -2.328 -2.316 -2.304 -2.293 -2.281 -2.271 -2.260 -2.250 -2.240 -2.230 QQ Plot of Daily S&P 500 Tail Shocks against the EVT Distribution 8 E mpirical Quantile s SortedStandardized Return Rt/st Rank 6 4 2 0 -8 -7 -6 -5 -4 -3 -2 -1 -2 0 -4 -6 -8 EVT Quantile 1 2 3 4 5 6 7 8 Close 5-Jan-09 6-Jan-09 7-Jan-09 8-Jan-09 9-Jan-09 12-Jan-09 13-Jan-09 14-Jan-09 15-Jan-09 16-Jan-09 20-Jan-09 21-Jan-09 22-Jan-09 23-Jan-09 26-Jan-09 27-Jan-09 28-Jan-09 29-Jan-09 30-Jan-09 2-Feb-09 3-Feb-09 4-Feb-09 5-Feb-09 6-Feb-09 9-Feb-09 10-Feb-09 11-Feb-09 12-Feb-09 13-Feb-09 17-Feb-09 18-Feb-09 19-Feb-09 20-Feb-09 23-Feb-09 24-Feb-09 25-Feb-09 26-Feb-09 27-Feb-09 2-Mar-09 3-Mar-09 4-Mar-09 5-Mar-09 6-Mar-09 9-Mar-09 10-Mar-09 11-Mar-09 12-Mar-09 13-Mar-09 16-Mar-09 17-Mar-09 18-Mar-09 19-Mar-09 20-Mar-09 23-Mar-09 24-Mar-09 25-Mar-09 26-Mar-09 27-Mar-09 30-Mar-09 31-Mar-09 1-Apr-09 2-Apr-09 3-Apr-09 6-Apr-09 7-Apr-09 8-Apr-09 9-Apr-09 13-Apr-09 14-Apr-09 15-Apr-09 16-Apr-09 17-Apr-09 20-Apr-09 21-Apr-09 22-Apr-09 23-Apr-09 24-Apr-09 27-Apr-09 28-Apr-09 29-Apr-09 30-Apr-09 1-May-09 4-May-09 5-May-09 6-May-09 7-May-09 8-May-09 11-May-09 12-May-09 13-May-09 14-May-09 15-May-09 18-May-09 19-May-09 20-May-09 21-May-09 22-May-09 26-May-09 27-May-09 28-May-09 29-May-09 1-Jun-09 2-Jun-09 3-Jun-09 4-Jun-09 5-Jun-09 8-Jun-09 9-Jun-09 10-Jun-09 11-Jun-09 12-Jun-09 15-Jun-09 16-Jun-09 17-Jun-09 18-Jun-09 19-Jun-09 22-Jun-09 23-Jun-09 24-Jun-09 25-Jun-09 26-Jun-09 29-Jun-09 30-Jun-09 1-Jul-09 2-Jul-09 6-Jul-09 7-Jul-09 8-Jul-09 9-Jul-09 10-Jul-09 13-Jul-09 14-Jul-09 15-Jul-09 16-Jul-09 17-Jul-09 20-Jul-09 21-Jul-09 22-Jul-09 23-Jul-09 24-Jul-09 27-Jul-09 28-Jul-09 29-Jul-09 30-Jul-09 31-Jul-09 3-Aug-09 4-Aug-09 5-Aug-09 6-Aug-09 7-Aug-09 10-Aug-09 11-Aug-09 12-Aug-09 13-Aug-09 14-Aug-09 17-Aug-09 18-Aug-09 19-Aug-09 20-Aug-09 21-Aug-09 24-Aug-09 25-Aug-09 26-Aug-09 27-Aug-09 28-Aug-09 31-Aug-09 1-Sep-09 2-Sep-09 3-Sep-09 4-Sep-09 8-Sep-09 9-Sep-09 10-Sep-09 11-Sep-09 14-Sep-09 15-Sep-09 16-Sep-09 17-Sep-09 18-Sep-09 21-Sep-09 22-Sep-09 23-Sep-09 24-Sep-09 25-Sep-09 28-Sep-09 29-Sep-09 30-Sep-09 1-Oct-09 2-Oct-09 5-Oct-09 6-Oct-09 7-Oct-...
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