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

Table 2

Frequency of Byco Petroleum Company index large negative daily returns.

Threshold	<μ − 2σ	<μ − 3σ	<μ − 4σ
2005–2012
Total	102	45	15
Expected on the assumption of normality	70	15	0
In cluster	55	20	8
2005–2008.5
Total	52	25	7
Expected on the assumption of normality	34	8	0
In cluster	25	10	5
2008.5–2012
Total	50	20	8
Expected on the base of normality	36	7	0
In cluster	30	10	3