Value at Risk Analysis of Gold Price Returns Using Extreme Value Theory

Kittiya Chaithep, Songsak Sriboonchitta, Chukiat Chaiboonsri and Pathairat Pastpipatkul
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Kittiya Chaithep: Chiang Mai University
Chukiat Chaiboonsri: Chiang Mai University
Pathairat Pastpipatkul: Chiang Mai University

The Empirical Econometrics and Quantitative Economics Letters, 2012, vol. 1, issue 4, 151-168

Abstract: There are many approaches to evaluate the return. However, Extreme Value Theory is the right method to analysis Value at Risk of Gold Price Return. The method is covered tothe block maxima and the Peak over Thresholds modeling. This study uses a daily gold price in US dollar over the period of January 1, 1985 to August 31, 2011.The purpose is to evaluate a value at risk of the daily gold price return. It is very useful to manage a risk allocation in portfolio. Moreover, the paper is included to the return level forecasting in the next 20-years.

Date: 2012
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