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Extreme Value Theory and COVID-19 Pandemic: Evidence from India

Author

Listed:
  • Maaz Khan

    (Comsats University Islamabad, Islamabad, Pakistan)

  • Faheem Aslam

    (Comsats University Islamabad, Islamabad, Pakistan)

  • Paulo Ferreira

    (University of Évora, Évora, Portugal, and VALORIZA, Research Center for Endogenous Resource Valorization, Portalegre, Portugal)

Abstract

The COVID-19 pandemic has become major problem for financial markets and world economy. In this paper we investigated the extreme tail behavior of NIFTY 50 index during the COVID-19 pandemic. The extreme behavior of the stock market is examined through GPD model by suing high frequency data (5-min interval) of log returns ranging from 11th March 2020 to 30th Sept 2020 which provide more precise description of NIFTY 50 tail distribution in the pandemic period. The result indicates GPD give a real picture of uncertainties associated with COVID-19. The finding of study will assist in decision making to monitor COVID-19 impact on financial markets.

Suggested Citation

  • Maaz Khan & Faheem Aslam & Paulo Ferreira, 2021. "Extreme Value Theory and COVID-19 Pandemic: Evidence from India," Economic Research Guardian, Weissberg Publishing, vol. 11(1), pages 2-10, June.
    • Handle: RePEc:wei:journl:v:11:y:2021:i:1:p:2-10
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    References listed on IDEAS

    as
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    Cited by:

    1. Kayani, Umar Nawaz & Hassan, M. Kabir & Moussa, Faten & Hossain, Gazi Farid, 2023. "Oil in crisis: What can we learn," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).

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    More about this item

    Keywords

    COVID-19; Extreme Value Theory; Generalized Pareto Distribution; Value at Risk; NIFTY 50;
    All these keywords.

    JEL classification:

    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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