Estimation of Value at Risk for Chinese Financial Market: ARMA-FIAPARCH-SKST Model

摘要：

asymmetry and long memory of return and volatility are two important stylized Tacts in financial market, an effective financial risk management must be consider them. Therefore, this paper uses ARMA (1,1)-FIAPARCH (1,d,1)-SKST to estimate dynamic Value at Risk(VaR), and apply Kupiecs LRT technique to test risk measurement accuracy of different risk model. Our results show that ARMA(1,1)-FIAPARCH(1,d,1)-SKST model is best excellent model which was used in this paper; SKST fit distribution of financial return; Risk Metrics model can not measure risk of finance market accurately.

关键词： financial market value-at-risk arma-fiaparch-skst measurement

作者: Yu Lin Yanxiang Chen Jianying Luo

作者单位: Business school, Chengdu University of Technology,Chengdu, P.R.China, 610059 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: 329-332

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）