GEVDGeneralized Extreme Value Distribution
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The PP and QQ plots given in Figure 8 indicate the appropriateness of using the GEVD to model the negative real GDP growth rates.
Table 3 Evaluation of estimated tail quantiles at different probabilities (number of exceedances) Probability Expected ARMA-EGARCH GEVD 0.
The GEVD produces more accurate estimates of extreme tails than a pure ARMA-EGARCH model as shown in Table 2.