Two-fold volatility models based on CAPM and estimate of VaR

摘要：

In this paper, the private risk of enterprise and the common risk which affected by the macroscopic economic situation are taken into account, then a two-fold GARCH model and a two-fold EGARCH model based on CAPM are established An estimate method for VaR is given. The empirical study indicates that the models can fit the return process of financial asset well. Compared with the GARCH model and the EGARCH model, they make higher accuracy of prediction and estimation of VaR.

关键词： VaR CAPM model two-fold GARCH model two-fold EGARCH model

作者: Shu-shan LI Zhen-xiang DAI

作者单位: College of Information Science and Engineering,Shandong University of Science and Technology,Qingdao School of Mathematics and Information Science,Yantai University,264005,Yantai,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 106-109

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）