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

Table 3

The probability weighted moment estimates and AD value of GEV and GL distributions for the daily minima returns of Byco Petroleum Pakistan Limited.

GEV estimates						GL estimates
	N	Alpha	Beta	Gamma	value	Alpha	Beta	Gamma	value	Better fit
S = 1
	1920	−0.01217	0.0288	0.1951		−0.0016	0.0171	−0.0505	0.022	GL
S = 10
	192	−0.0133	0.0263	0.1411	0.701	−0.0036	0.0160	−0.0823	0.923	GL
	192	−0.0122	0.0356	0.2507	0.742	−0.0013	0.0205	−0.0185	0.760	GL
	192	−0.0110	0.0212	0.1923	0.556	−0.0033	0.0126	−0.0521	0.810	GL
	192	−0.0085	0.0270	0.2444	0.678	0.0011	0.0156	−0.0221	0.761	GL
	192	−0.0234	0.0515	0.2973	0.221	−0.0054	0.0289	0.0075	0.050	GEV
	192	−0.0129	0.0292	0.0961	0.123	−0.0019	0.0183	−0.1096	0.261	GL
	192	−0.0155	0.0305	0.0487	0.334	−0.0038	0.0196	−0.1389	0.034	GL
	192	−0.0077	0.0179	0.1923	0.702	−0.0012	0.0106	−0.0520	0.380	GEV
	192	−0.0074	0.0207	0.3197	0.536	−0.0001	0.0115	0.0198	0.231	GL
	192	−0.0091	0.0235	0.3303	0.159	−0.0004	0.0453	−0.0944	0.615	GEV
S = 30
	64	−0.0148	0.0280	0.2070	0.325	−0.0047	0.0165	−0.0435	0.910	GL
	64	−0.0155	0.0267	0.1347	0.576	−0.0056	0.0163	−0.0861	0.443	GEV
	64	−0.0094	0.0243	0.0989	0.062	−0.0002	0.0152	−0.1078	0.552	GL
	64	−0.0074	0.0332	0.1679	0.771	0.0047	0.0200	−0.0664	0.916	GL
	64	−0.0096	0.0365	0.2540	0.774	0.0033	0.0210	−0.0166	0.940	GL
	64	−0.0167	0.0366	0.3184	0.738	−0.0040	0.0204	0.0191	0.820	GL
	64	−0.0091	0.0187	0.2865	0.070	−0.0025	0.0106	0.0015	0.412	GL
	64	−0.0116	0.0199	0.0979	0.701	−0.0041	0.0124	−0.1084	0.547	GEV
	64	−0.0125	0.0251	0.2088	0.117	−0.0034	0.0148	−0.0425	0.326	GL
	64	−0.0658	0.0262	0.2381	0.758	0.0038	0.0169	−0.0256	0.867	GL
	64	−0.0112	0.0261	0.2106	0.391	−0.0017	0.0153	−0.0415	0.800	GL
	64	−0.0077	0.0292	0.2988	0.682	0.0014	0.0147	0.0083	0.665	GEV
	64	−0.0096	0.0182	0.3900	0.439	−0.0034	0.0098	−0.0576	0.510	GL
	64	−0.0258	0.0484	0.2559	0.201	−0.0087	0.0276	−0.0155	0.113	GEV
	64	−0.0349	0.0797	0.2471	0.767	−0.0064	0.0460	−0.0205	0.887	GL
	64	−0.0224	0.0457	0.0549	0.229	−0.0050	0.0293	−0.1351	0.002	GL
	64	−0.0076	0.0166	0.1127	0.248	−0.0014	0.0103	−0.0994	0.270	GL
	64	−0.0086	0.0212	0.0657	0.002	−0.0006	0.0135	−0.1283	0.030	GL
	64	−0.0138	0.0250	−0.1336	0.771	−0.0038	0.0178	−0.2587	0.911	GL
	64	−0.0155	0.0292	0.2120	0.001	−0.0050	0.0293	−0.1351	0.002	GL
	64	−0.0165	0.0370	0.0971	0.274	−0.0026	0.0232	−0.1089	0.630	GL
	64	−0.0046	0.0176	0.2146	0.178	0.0016	0.0103	−0.0391	0.821	GEV
	64	−0.0093	0.0180	0.2571	0.247	−0.0020	0.0103	−0.0149	0.467	GL
	64	−0.0090	0.0184	0.1384	0.750	−0.0037	0.0112	−0.0840	0.308	GL
	64	−0.0095	0.0240	0.4561	0.310	−0.0008	0.0124	0.0918	0.096	GL
	64	−0.0078	0.0197	0.3811	0.200	−0.0019	0.0111	−0.0985	0.400	GL
	64	−0.0168	0.0347	0.0911	0.034	−0.0029	0.0218	−0.1127	0.048	GL
	64	−0.0057	0.0133	0.1996	0.160	−0.0021	0.0078	−0.0478	0.905	GEV
	64	−0.0050	0.0181	−0.0122	0.567	−0.0016	0.0120	−0.1784	0.825	GEV
	64	−0.0046	0.0179	0.1142	0.302	−0.0011	0.0106	0.0528	0.309	GL