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

Maaz Khan (), Faheem Aslam () and Paulo Ferreira
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Maaz Khan: Comsats University Islamabad, Islamabad, Pakistan
Faheem Aslam: Comsats University Islamabad, Islamabad, Pakistan

Economic Research Guardian, 2021, vol. 11, issue 1, 2-10

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.

Keywords: COVID-19; Extreme Value Theory; Generalized Pareto Distribution; Value at Risk; NIFTY 50 (search for similar items in EconPapers)
JEL-codes: C55 C58 G15 (search for similar items in EconPapers)
Date: 2021
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