Stochastic comparisons of extreme order statistic from dependent and heterogeneous lower-truncated Weibull variables under Archimedean copula

Zhang, Xiao; Yan, Rongfang

doi:10.3934/math.2022381

Cited by 1 publication

(1 citation statement)

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“…The copula family encompasses various types, among them the Archimedean copulas. Archimedean copulas find applications in reliability theory and numerous other fields due to their capacity to capture a wide spectrum of dependence patterns and their mathematical tractability (Ayantobo et al 2019;Zhang and Yan 2022). The Archimedean copula is defined by a single-valued function known as the ϕ generating function.…”

Section: Archimedean Copulasmentioning

confidence: 99%

The Gumbel Copula Method for Estimating Value at Risk: Evidence from Telecommunication Stocks in Indonesia during the COVID-19 Pandemic

Tinungki,

Siswanto,

Najiha

2023

JRFM

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The COVID-19 pandemic has had a substantial and far-reaching impact on global economic growth, extending its effects to Indonesia as well. Various sectors have witnessed a decline in stock returns as a consequence. Interestingly, the telecommunications sector has bucked this trend by experiencing an increase in stock returns, defying the negative implications of the pandemic. The relationship between returns and risk is inherently intertwined, necessitating a meticulous risk assessment. In response to this need, the Value at Risk (VaR) method has emerged as a rapidly growing and widely adopted risk measurement tool. Among the techniques employed for VaR estimation, the Monte Carlo simulation stands out due to its flexibility and comprehensiveness in accommodating factors such as time variance, volatility, returns, fat tails, and extreme scenarios. The Gumbel copula method, known for its heightened sensitivity to high-risk events, is utilized for VaR estimation on abnormal stock returns. This study aims to quantify the Value at Risk by leveraging the estimated Gumbel copula parameter for the return on the shares of PT. Indosat Ooredoo Hutchison Tbk, and PT. Smartfren Telecom Tbk during the COVID-19 pandemic. At a 90% confidence level, the VaR is determined to be 7.6%. Notably, this estimate closely aligns with the actual values, underscoring the reliability of the VaR estimation conducted using the Gumbel copula parameter estimator. Therefore, this model serves as a robust reference, particularly suitable when dealing with investment return data that deviate from the normal distribution, while considering the unique stock return characteristics within each dataset.

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Section: Archimedean Copulasmentioning

confidence: 99%