Estimation And Research Of Extreme Value Index Of The General Extreme Value Distribution In The Stock Market

The properties of tails on the distribution functions are very significant, not only for Extreme Value Theory, but also for the financial and insurance theory. The Extreme Value Indexγof the distribution function plays an important role in describing the properties of tails, and the distributions of the financial time series almost are heavy-tailed, therefore the estimation of the Extreme Value Indexγfor the heavy-tailed distribution have aroused our attention.Many scholars propose several methods and get many different estimators of the Extreme Value Indexγ, and have the well application in the actual markets. But there are no studies on the variation of the Extreme Value Index by time. This paper gives some research and some thoughts on the Extreme Value Index time series. Extreme Value Index can response the fluctuation of the stock prices. We explore the variation of the Extreme Value Index in the times in order to find the stabilities of the stock prices in the extend.