CVaR-EGARCH-GED Model and Its Application in Chinese Financial Field
Conditional value at risk (CVaR) is a kind of method to measure the financial asset risk and it improved value at risk (VaR); EGARCH model is used to simulate the volatility (heteroskedasticity) which can measure the financial asset risk dynamically; For the leptokurtic and heavy tail of the return series, this paper use Generalized error distribution (GED) to fit the return distribution; The model which compute CVaR value by EGARCH-GED model that we call it CVaR-EGARCH-GED model. Then we make empirical analysis for the Shanghai and Shenzhen Stock market index. The results showed that: CVaR-EGARCH-GED model can fit and forecast Chinese two stock markets index well. It should to be an effective tool for risk management in Chinese stock markets especially in Shenzhen stock market.
Value at Risk (VaR) Conditional Value at Risk (CVaR) EGARCH Model Generalized Error Distribution (GED)
LI Weidong LI Shushan
College of Information Science and Engineering, Shandong University of Science and Technology, Qingdao, P.R.China, 266510
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
1-5
2008-08-14（万方平台首次上网日期，不代表论文的发表时间）