CAPM-D-EGARCH Model and Empirical Study

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 EGARCH model named CAPM-DEGARCH model based on CAPM is established. The empirical study indicates that the model could fit the return process of financial capital better. Compared with the EGARCH model, it makes higher accuracy of prediction and estimation of Value-at-risk.

关键词： VaR CAPM Model CAPM-D-EGARCH Model

作者: 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: 1-6

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）