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

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Copyright 2011 - 2020 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: https://www.gnu.org/licenses/.

Listing 9.1/9.2: Hill estimator in R
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
print(iota)
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
print(iota)