DATA PRESENTATION FUNDAMENTALS RESULTS RESULTS FUNDAMENTALS

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Presentation transcript:

DATA PRESENTATION FUNDAMENTALS RESULTS RESULTS FUNDAMENTALS Some Statistical Analysis of Portuguese Financial Data Manuel L. Esquível Departamento de Matemática Faculdade de Ciências e Tecnologia (FCT) Universidade Nova de Lisboa (UNL) & C.M.A.F. - U.L. e-mail: mle@mail.fct.unl.pt DATA RESULTS RESULTS FUNDAMENTALS PRESENTATION Alexandra D. Pinheiro Departamento de Matemática Faculdade de Ciências e Tecnologia (FCT) Universidade Nova de Lisboa (UNL) e-mail: acdp@mail.fct.unl.pt FUNDAMENTALS

Daily closing values of the PSI-20 index DATA DATA DATA DATA Daily closing values of the PSI-20 index DATA 1

Daily returns from the closing values of PSI-20 index DATA DATA DATA DATA Daily returns from the closing values of PSI-20 index DATA 2

FUNDAMENTALS Nº1

Fit of an EVD to the negative returns of PSI-20 RESULTS a

Fit of an EVD to the positive returns of PSI-20 RESULTS b

FUNDAMENTALS Nº2

Fit of a generalised Pareto to the excesses (x-u) of the negative returns RESULTS c

Fit of a generalised Pareto to the excesses (x-u) of the positive returns RESULTS d

FUNDAMENTALS Nº3

Fit of the unconditional distribution to the negative returns, F(z) for z > u, and quantile estimates (95% and 99%) z 1-F(z) RESULTS 1-F(z) (on log scale) z (on log scale) e

Fit of the unconditional distribution to the positive returns, F(z) for z > u, and quantile estimates (95% and 99%) z 1-F(z) RESULTS z (on log scale) 1-F(z) (on log scale) f

FUNDAMENTALS Nº4

FUNDAMENTALS 5

FUNDAMENTALS 6