Extreme Volatilities, Financial Crises and L-Moment Estimations of Tail-Indexes

108 Pages Posted: 19 May 2010

See all articles by Bertrand B. Maillet

Bertrand B. Maillet

EMLyon Business School (Paris Campus)

Jean-Philippe R. Médecin

affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Date Written: April 5, 2010

Abstract

Following Bali and Weinbaum (2005) and Maillet et al. (2010), we present several estimates of volatilities computed with high- and low-frequency data and complement their results using additional measures of risk and several alternative methods for Tail-index estimation. The aim here is to confirm previous results regarding the slope of the tail of various risk measure distributions, in order to define the high watermarks of market risks. We also produce synthetic general results concerning the method of estimation of the Tail-indexes related to expressions of the L-moments. Based on estimates of Tail-indexes, retrieved from the high frequency 30’ sampled CAC40 French stock Index series from the period 1997-2009, using Non-parametric Generalized Hill, Maximum Likelihood and various kinds of L-moment Methods for the estimation of both a Generalized Extreme Value density and a Generalized Pareto Distribution, we confirm that a heavy-tail density specification of the Log-volatility is not necessary.

Keywords: Financial Crisis, Realized Volatility, Range-based Volatility, Extreme Value Distributions, Tail-index, L-moments, High Frequency Data

JEL Classification: G10, G14

Suggested Citation

Maillet, Bertrand B. and Médecin, Jean-Philippe R., Extreme Volatilities, Financial Crises and L-Moment Estimations of Tail-Indexes (April 5, 2010). University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10_10. Available at SSRN: https://ssrn.com/abstract=1609573 or http://dx.doi.org/10.2139/ssrn.1609573

Bertrand B. Maillet (Contact Author)

EMLyon Business School (Paris Campus) ( email )

23 Avenue Guy de Collongue
Ecully, 69132
France

Jean-Philippe R. Médecin

affiliation not provided to SSRN ( email )

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