Risk Measurement of Chinese SMEB Stock Market: An APARCH-SKST approach

摘要：

this paper use the APARCH(1,1) to model the conditional volatility of Small & Medium Enterprise Board stock market, and use normal, student t and skewed student t distribution to model the standardized residual of conditional loss of SMEB, and then compute dynamic value-at-risk, at last, we use Kupiecs LR statistic to test the accuracy of risk measurement model. Our results show that the APARCH(1,1) model with skew student t distribution exhibits outperform ability of VaR of SMEB, skew student t distribution fits to residual series well.

关键词： risk measurement smeb aparch model lr testing

作者: Yanxiang Chen Jianying Luo

作者单位: College of Information Management, Chengdu University of Technology, P.R.China, 610059

会议类型: 国际会议

会议名称: 2010 IEEE International Conference on Advanced Management Science(2010年IEEE高级管理科学国际会 IEEE ICAMS 2010)

会议地点: 成都

会议语种:英文

页码: 400-403

在线出版日期: 2010-07-09（万方平台首次上网日期，不代表论文的发表时间）