Table 3 Tail parameter estimates

From: On agricultural commodities’ extreme price risk

Commodity Left tail   Right tail
  Shape (s.e.) Scale   Shape (s.e.) Scale
Panel (a): Monthly returns in the spot market, 1928-2014
Corn 3.10 (0.45) 130.42   2.88 (0.41) 85.87
Cotton 3.52 (0.52) 96.84   2.57 (0.33) 17.12
Oats 2.54 (0.41) 28.17   2.94 (0.46) 130.58
Soybeans 2.72 (0.46) 53.78   2.59 (0.42) 41.03
Wheat 2.84 (0.48) 55.04   3.14 (0.39) 227.09
Live cattle 2.94 (0.42) 18.28   2.93 (0.42) 24.56
Oranges 2.46 (0.30) 173.72   1.95 (0.32) 56.90
Sugar 3.49 (0.41) 554.36   2.36 (0.41) 56.04
Panel (b): Weekly returns in the futures market, 1979-2012
Corn 3.21 (0.36) 10.55   3.79 (0.39) 49.73
Cotton 3.50 (0.38) 13.47   3.06 (0.35) 8.29
Oats 3.81 (0.40) 72.21   3.40 (0.52) 30.67
Soybeans 3.04 (0.33) 6.70   3.30 (0.36) 11.46
Wheat 3.40 (0.46) 12.92   3.20 (0.27) 14.63
Live cattle 4.04 (0.54) 8.63   3.93 (0.40) 7.49
Orange juice 3.10 (0.30) 13.38   2.85 (0.35) 11.77
Sugar 4.20 (0.51) 348.86   3.63 (0.45) 108.49
  1. Note: The columns report the shape and scale parameters estimated using the Hill estimator in Eqs. 21 and Eq. 22. The standard errors are obtained from the block bootstrap procedure. The third columns report the estimated scale parameter from Eq. 22. For the monthly returns in the spot market, each tail consists of k = 50 observations, or approximately 5.4% of the observations. For the weekly returns in the futures markets, each tail consists of k = 75 observations, or approximately 4.2% of the observations