Figures & data
Figure 2. Histogram of daily maxima of negative log-returns of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.
![Figure 2. Histogram of daily maxima of negative log-returns of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.](/cms/asset/6021ad63-98b4-4e61-8f1c-13d5e2e80a09/tstf_a_1862586_f0002_ob.jpg)
Figure 3. Daily maxima of standardised negative log-returns of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.
![Figure 3. Daily maxima of standardised negative log-returns of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.](/cms/asset/d0fcf65f-7245-411c-b174-9abb019d320f/tstf_a_1862586_f0003_ob.jpg)
Figure 4. Histogram of daily maxima of standardised negative log-returns of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.
![Figure 4. Histogram of daily maxima of standardised negative log-returns of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.](/cms/asset/9e28b919-5e9e-4c7b-ac4c-19822d8288b7/tstf_a_1862586_f0004_ob.jpg)
Table 1. MLE for cross-sectional daily maxima of negative log-returns of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.
Figure 5. Recovered tail indexes (dashed), and daily maxima of standardised negative log-returns (solid) of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.
![Figure 5. Recovered tail indexes {α^t} (dashed), and daily maxima of standardised negative log-returns (solid) of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.](/cms/asset/45a27fa0-dcb6-4a8c-a31f-6769c1cb2989/tstf_a_1862586_f0005_ob.jpg)
Figure 7. The 5% quantile (dashed), 95% quantile (dash-dotted) of the estimated and daily maxima of standardised negative log-returns (solid) of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.
![Figure 7. The 5% quantile (dashed), 95% quantile (dash-dotted) of the estimated {Qt} and daily maxima of standardised negative log-returns (solid) of 87 stocks in SSE Index from 01/05/2005 to 10/20/2020.](/cms/asset/689be2e5-17e6-428d-aad3-e94da37ef751/tstf_a_1862586_f0007_ob.jpg)
Table 2. The performance of model (5.1)–(5.3) on approximation of 1-day conditional VaR for daily maxima negative log-returns of SSE Index.