Study on Dynamic VaR Measurement Base on ARMA (1, 1)-APGARCH (1, 1) Model and EVT

摘要：

This paper builds ARMA-APGARCH model to describe autocorrelation, volatility cluster and leverage effort. Estimate the parameters and calculate standardized residuals. Then compute quartile and value at risk. Empirical study in shanghai stock market present that the tail of standardized residuals is near independent identically distributed, and it fit GPD. VaR is reasonably and accurately by this method.

关键词： ARMA-APGARCH Model Eztreme Value Theory POT Model Value at Risk

作者: LIU Changqing LI Shushan

作者单位: College of Information Science and Engineering, Shandong University of Science and Technology, Qingdao, P.R.China, 266510

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-5

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）