The Risk Analysis and Modeling of Byco Petroleum in Pakistan Using Extreme Value Theory

Table 1

Descriptive statistics for Byco Petroleum Company daily returns.

	N	m	Mean	St. dev	Min	Max	Skewness	Kurtosis	SW
2005–2012
Daily minima	1920		0.02	0.04	−0.19	0.32	−1.07	11.22	0.8675
Weekly	384	5	0.03	0.08	−0.77	0.48	−1.41	20.31	0.8349
Monthly	97	20	0.01	0.15	−0.9	0.04	−2.01	10.23	0.8570
2005–2008.5
Daily	959		0.01	0.04	−0.19	0.28	0.49	8.31	0.8936
Weekly	191	5	−0.02	0.01	0.77	0.49	−1.57	18.99	0.8049
Monthly	48	20	0.03	0.19	0.9	0.35	−1.83	6.72	0.8587
2008.5–2012
Daily	960		0.01	0.03	−0.13	0.32	2.03	15.64	0.8314
Weekly	192	5	0.04	0.06	−0.25	0.22	−0.09	2.8	0.9319
Monthly	48	20	0.01	0.01	0.21	0.25	0	0.4	0.9759