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A Bayesian Extreme Value Analysis of KOSPI Data

코스피 지수 자료의 베이지안 극단값 분석

Yun, Seok-Hoon
윤석훈

  • Received : 20110900
  • Accepted : 20111000
  • Published : 2011.10.31

Abstract

This paper conducts a statistical analysis of extreme values for both daily log-returns and daily negative log-returns, which are computed using a collection of KOSPI data from January 3, 1998 to August 31, 2011. The Poisson-GPD model is used as a statistical analysis model for extreme values and the maximum likelihood method is applied for the estimation of parameters and extreme quantiles. To the Poisson-GPD model is also added the Bayesian method that assumes the usual noninformative prior distribution for the parameters, where the Markov chain Monte Carlo method is applied for the estimation of parameters and extreme quantiles. According to this analysis, both the maximum likelihood method and the Bayesian method form the same conclusion that the distribution of the log-returns has a shorter right tail than the normal distribution, but that the distribution of the negative log-returns has a heavier right tail than the normal distribution. An advantage of using the Bayesian method in extreme value analysis is that there is nothing to worry about the classical asymptotic properties of the maximum likelihood estimators even when the regularity conditions are not satisfied, and that in prediction it is effective to reflect the uncertainties from both the parameters and a future observation.

Keywords

KOSPI;extreme value theory;Poisson-GPD model;Bayesian method;noninformative prior distribution;Markov chain Monte Carlo method

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