Fig. 3 | Extremes

Fig. 3

From: On agricultural commodities’ extreme price risk

Fig. 3

Backtesting agricultural prices Value-at-Risk Note: The spikes show the weekly wheat returns. The lines report the VaR estimated using a rolling window of 520 weeks. The estimates are based on the normal distribution (in gray), generalized EVT distribution using the estimator of Fraga Alves et al. (2009) (in blue) and a power law tail distribution using the estimator of Hill (1975) (in red). The VaR estimate from the normal distribution and generalized EVT distribution are exceeded at a frequency higher than once every eight years

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