Modelling Extreme values of the PX Index returns

Abstract

In this contribution we focused on the daily log returns of investment in the Prague stock exchange index, PX-Index. We analysed data from January 1st, 1995 to June 30th, 2018. We can see that the data has fatter left and right-hand tails than the normal distribution. Conclusions of our basic analysis are that the daily log returns are leptokurtic and heavy tailed. They are not i.i.d. and volatility varies over time. Further we investigated extreme values of daily log returns. The focus is on how Extreme Value Theory fares in contrast to the assumption of normally distributed losses. Also we can say that extreme daily log returns appear in clusters.