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| Untersuchte Arbeit: Seite: 159, Zeilen: 6-13 |
Quelle: Zhang Huang 2006 Seite(n): 6, 7, 8, Zeilen: 6: 22-24; 7:8-9; 8:3-5 |
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| The negative log returns, the estimated standard deviations and the standardized residuals are drawn in Figure 5.B.I. From the plots, clearly we see that there are extreme observations, jumps in returns, jumps in volatilities in each sequence.
One can observe that the devolatilized time series now looks stationary. However, jumps in returns are still persistent. Second stage: transformation to Frèchet [sic] scale. The next step is to fit a generalized Pareto distribution (GPD) to exceedances over a specified threshold value, [...]. |
The negative log returns are plotted in Figure 1. From the plots, clearly we see that there are extreme observations, jumps in returns, jumps in volatilities in each sequence. [...]
[Seite 7] One can see that the devolatilized time series now looks stationary. Jumps in returns are still persistent. [...] [Seite 8] The next step is to fit a generalized extreme value (GEV) distribution to the pseudo-observations or a generalized Pareto distribution (GPD) to exceedances over a specified threshold value. |
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