THE TORQUE COMPARISON OF THE EXTREME DISTRIBUTION MODELS AND THE DIFFERENCE IN THE RATIO OF FAILURE PATTERNS OF DIFFERENT TIME MODELS OF TEHRAN STOCK EXCHANGE

Rezaian, Ali; Vakilifard, Hamidreza; Khalili Araghi, Maryam

Manuscript ID : FEJ-1907-2304 (R1) Visit : 158 Page: 245 - 270

20.1001.1.22519165.1399.11.43.11.4

Article Type: Original Research

THE TORQUE COMPARISON OF THE EXTREME DISTRIBUTION MODELS AND THE DIFFERENCE IN THE RATIO OF FAILURE PATTERNS OF DIFFERENT TIME MODELS OF TEHRAN STOCK EXCHANGE

Subject Areas : Financial engineering

Ali Rezaian ¹ (Department of Financial Management, Faculty of management and economic, Science and Research Branch, Islamic Azad university, tehran, iran.)
Hamidreza Vakilifard ² (Department of Accounting, Faculty of management and economic, Science and Research Branch, Islamic Azad university, tehran, iran.)
Maryam Khalili Araghi ³ (department of Business Management, Faculty of Management and Economics, Islamic Azad University, Science and Research Branch, Tehran, Iran)

Received: 2019-07-24 Accepted : 2019-09-07 Published : 2020-06-21

Keywords: Key words: Torque modeling, Extreme risk models, Error Ratio, Block maximum,

Abstract :

THE TORQUE COMPARISON OF THE EXTREME DISTRIBUTION MODELS AND THE DIFFERENCE IN THE RATIO OF FAILURE PATTERNS OF DIFFERENT TIME MODELS OF TEHRAN STOCK EXCHANGEExtreme risk assessment and the use of more efficient risk estimation models in today's financial world are of secondary importance. In this paper, appropriate partial statistical model and the optimal time pattern for estimating a constant and variable periodic risk index in time were selected using the new method of L-Moment torque index for positive and negative extreme values of Tehran Stock Exchange index (maximum block approach) and Estimation of the conditional Extreme risk in different time patterns. The results of the torque study of Extreme distribution models in both positive and negative (minimum and maximum) series showed that the optimal matching model with logarithm of return efficiency of Tehran Stock Exchange are often the GEV model and sometimes the GL model and from among the different time patterns, the daily and weekly pattern at a 90% confidence level, have less estimated errors.Key words: Torque modeling, Extreme risk models, Error Ratio, Block maximum.

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