Measuring Extreme Risks in the Rwanda Stock Market
International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
www.ijsr.net | Open Access | Fully Refereed | Peer Reviewed International Journal

ISSN: 2319-7064



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Research Paper | Statistics | Rwanda | Volume 7 Issue 10, October 2018

Measuring Extreme Risks in the Rwanda Stock Market

Bizumutimajean Claude; Dr. Marcel NDENGO; Dr. Joseph K. Mung'atu

The stability of stock prices is very important for investors. Investors are attracted by shares which exhibit less volatility, less risks and hence stable and predictable prices overtime. Despite the importance of stock volatility in attracting investors, there are few studies talking about measuring extreme risk in Rwanda stock Exchange. This research project aims to measure extreme risks of shares of selected companies by EVT approach from Rwanda stock exchange using data for the period 2013 to 2016. The source of data was including monthly average share price of Bank of Kigali (B. K) companies and bralirwa. The study was utilizing maximum likelihood method to estimate the model parameter and the models goodness of fit was assessed by using Q-Q, P-P and density Plot. The size the extreme monthly Rwanda stock market movement was then computed using expected shortfall risk measures at some high quintiles, based on the GPD model. This paper provides a step by step guideline for extreme risk analysis in the R software with several examples.

Keywords: Extreme Value Theory (EVT), Peak-Over-Threshold(POT), Expected shortfall, Generalized Pareto Distribution (GDP)

Edition: Volume 7 Issue 10, October 2018

Pages: 1697 - 1701

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How to Cite this Article?

Bizumutimajean Claude; Dr. Marcel NDENGO; Dr. Joseph K. Mung'atu, "Measuring Extreme Risks in the Rwanda Stock Market", International Journal of Science and Research (IJSR), https://www.ijsr.net/search_index_results_paperid.php?id=ART20192384, Volume 7 Issue 10, October 2018, 1697 - 1701

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