The Choice of the GARCH Family in Risk Measure And its Application in Chinas Stock Market
GARCH family is a very important foundation in building VaR models. So in this article, we analysis and compare many GARCH models under different distributions, different model forms and different sample capabilities. We introduce a new method, called MQL function, to select the best model from large numbers of these models. At last, China stock market is our research object to validate and we obtain some conclusions such as: the influence which comes from model forms is little; AIC is not the best criterion in selecting models; MQL function is one of the approaches to select best VaR model.
GARCH Models Choice VaR MQL Function
ZHAO Zhen-quan ZHANG Linlin
Quantitative Research Center of Economics, School of Business, Jilin University P.R.China, 130012
国际会议
2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)
烟台
英文
1-6
2008-08-14（万方平台首次上网日期，不代表论文的发表时间）