Chapter 9. Extreme Value Theory (in MATLAB/Python)

Copyright 2011 - 2022 Jon Danielsson. This code is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. This code is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. The GNU General Public License is available at:

Listing 9.1/9.2: Hill estimator in MATLAB
Last updated 2011

ysort = sort(y);     % sort the returns
CT = 100;  % set the threshold
iota = 1/mean(log(ysort(1:CT)/ysort(CT+1))) % get the tail index
Listing 9.1/9.2: Hill estimator in Python
Last updated June 2018

ysort = np.sort(y)   # sort the returns
CT = 100   # set the threshold
iota = 1/(np.mean(np.log(ysort[0:CT]/ysort[CT]))) # get the tail index