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A risk model on the weekend’s returns of the U.S. movie industry
Sumarti N.a, Hidayat R.a
a Department of Mathematics, Institut Teknologi Bandung, Indonesia
[vc_row][vc_column][vc_row_inner][vc_column_inner][vc_separator css=”.vc_custom_1624529070653{padding-top: 30px !important;padding-bottom: 30px !important;}”][/vc_column_inner][/vc_row_inner][vc_row_inner layout=”boxed”][vc_column_inner width=”3/4″ css=”.vc_custom_1624695412187{border-right-width: 1px !important;border-right-color: #dddddd !important;border-right-style: solid !important;border-radius: 1px !important;}”][vc_empty_space][megatron_heading title=”Abstract” size=”size-sm” text_align=”text-left”][vc_column_text]The main purpose of a financial risk model is to make forecasts of the likely losses or gains that would be incurred for a variety of risks so it can be as references of the actual or potential investment. This paper analyzes the return of weekend’s earnings of the US movie Box Office taken from January 1982 to December 2010. Based on Extreme Value Theory (EVT) analysis ([1],[2]), the data to be examined consist of only extreme values which are chosen where data surpasses a certain threshold u. The negative and positive tails of the data distribution will be fitted to a Generalized Pareto distribution model with particular values of parameters ζ and σ. In the next step, Value at Risk (VaR) and Expected Shortfall (ES) are computed from 2 periods, 1982 – 1995 and 1996 – 2010. How to choose an optimal threshold u is the key problem in GDP model. We choose u that makes the maximum value of VaR for each period so we can compare the results. Furthermore, for positive value of ζ, we use Goodness-of-fit test table by Zisheng and Chi [3]. Results shows that the possibility of loss for an investment in the movie industry is relatively lower than the possibility of gain for both periods of time. The values of VaR for the second period are higher than the first period. We are able to conclude that the 2008 financial crisis gave no significant effect on these measurement values in the second period. This result describes the high potential opportunity in the investment of the US movie makers.[/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”Author keywords” size=”size-sm” text_align=”text-left”][vc_column_text]Box office,Data distribution,Expected shortfall,Extreme value,Extreme value theory,Financial crisis,Financial risks,Generalized Pareto Distributions,Goodness-of-fit test,High potential,Maximum values,Movie industry,Optimal threshold,Positive value,Risk model,Value at Risk[/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”Indexed keywords” size=”size-sm” text_align=”text-left”][vc_column_text]Earnings returns,Extreme value theory,Financial risk,Generalized pareto distribution,Value at risk[/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”Funding details” size=”size-sm” text_align=”text-left”][vc_column_text][/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”DOI” size=”size-sm” text_align=”text-left”][vc_column_text][/vc_column_text][/vc_column_inner][vc_column_inner width=”1/4″][vc_column_text]Widget Plumx[/vc_column_text][/vc_column_inner][/vc_row_inner][/vc_column][/vc_row][vc_row][vc_column][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][/vc_column][/vc_row]