Statistical modeling of gold price data using generalized extreme value distribution: an inference based on parametric and nonparametric bootstrap confidence interval

This study applies Extreme Value Theory (EVT) to model and quantify the risk associated with gold price fluctuations in the Malaysian market. Using daily gold price data from February 2010 to May 2023, the monthly maxima of negative daily log returns are modeled using the Generalized Extreme Value (...

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Bibliographic Details

Main Authors:	Ali, Norhaslinda, Mohd Kamarul Ariffin, Muhammad Firdaus
Format:	Article
Language:	en
Published:	Universiti Putra Malaysia 2024
Online Access:	http://psasir.upm.edu.my/id/eprint/118146/1/118146.pdf http://psasir.upm.edu.my/id/eprint/118146/ https://www.persama.org.my/dismath/archive?id=462
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