Study on realized volatility and CVaR forecasts and its applications in Chinese Stock market

摘要：

Value-at-Risk (VaR), as a risk measure, has been widely accepted all over the world. However, VaR is not the best risk measure. VaR is not sub-additive. Moreover, it doesnt indicate the size of the potential loss. CVaR is the most attractive coherent risk measure and has been studied by many authors. In this paper, CVaR calculations are studied. In addition, the issue of volatility forecasting for CVaR calculations by using realized volatility is investigated. Realized volatility is a non- parametric measure of volatility and can be modeled and forecasted with usual time series models. Furthermore, realized volatility is based on high frequency financial data and can fully take advantage of the intraday information. Finally, empirical research is made in Chinese stock market.

关键词： Realized Volatility ARFIMA VaR CVaR

作者: Guo Mingyuan ZhanXueli ZhangShiying

作者单位: School of Management, Tianjin University, P.R.China, 300072 School of Economics, Beijing Wuzi University, P.R.China, 101149

会议类型: 国际会议

会议名称: The 15th International Conference on Industrial Engineering and Engineering Management(IE&EM2008)(第十五届工业工程与工程管理国际学术会议暨中国机械工程学会第11次工业工程年会)

会议地点: 郑州

会议语种:英文

在线出版日期: 2008-09-20（万方平台首次上网日期，不代表论文的发表时间）