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GEV Distribution for Gold VaR Analysis by carter TLC is a document available to read on EtoBox.
This paper discusses the use of the Generalized Extreme Value (GEV) distribution for Value at Risk (VaR) analysis of gold prices, highlighting the importance of accurately measuring investment risks associated with gold. The study finds that employing a monthly block maxima approach yields a more precise VaR estimation of 0.899% at a 95% confidence level. This research underscores the necessity of using appropriate methods to assess the risk of gold investments in the context of extreme market conditions.
- Author
- carter TLC
- Language
- EN