Korean Management Science Review (경영과학)

The Korean Operations Research and Management Science Society (한국경영과학회)
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On the Applicability of the Extreme Distributions to Korean Stock Returns

한국 주식 수익률에 대한 Extreme 분포의 적용 가능성에 관하여

  • Published : 2007.11.30
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Abstract

Weekly minima of daily log returns of Korean composite stock price index 200 and its five industry-based business divisions over the period from January 1990 to December 2005 are fitted using two block-based extreme distributions: Generalized Extreme Value(GEV) and Generalized Logistic(GLO). Parameters are estimated using the probability weighted moments. Applicability of two distributions is investigated using the Monte Carlo simulation based empirical p-values of Anderson Darling test. Our empirical results indicate that both the GLO and GEV models seem to be comparably applicable to the weekly minima. These findings are against the evidences in Gettinby et al.[7], who claimed that the GEV model was not valid in many cases, and supported the significant superiority of the GLO model.

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