The Two Comparative Study of Methods Based on the Financial Risk Empirical Analysis

摘要：

The general analysis of data for the financial markets, which distribution has some characteristics, such as Leptokurtosis, significant heteroscedastic. The methods which we usually use has the ARCH and GARCH models and random fluctuation model in this paper. We used Huaxia banks securities data to compare the GARCH model and Quantile regression model. And we have got the Quantile regression which is based on semiparameters estimate method can make more accurate measurements for the risk of financial markets make more accurate measurements.

关键词： ARCH model GARCH model Quantile regression VaR

作者: WANG Xiuwen CHEN Xizhen

作者单位: College of Mathematics and Information science, Wenzhou University, Wenzhou, China, 325035

会议类型: 国际会议

会议名称: The 3rd (2011) International Conference on Financial Risk and Corporate Finance Management(第三届(2011)金融风险与公司金融国际研讨会FRCFM 2011)

会议地点: 大连

会议语种:英文

页码: 796-799

在线出版日期: 2011-06-30（万方平台首次上网日期，不代表论文的发表时间）