Value-at-Risk Model based on Switching Regime CAPM

摘要：

This paper analyses the application of a switching volatility model to forecast the distribution of returns and to estimate the Value-at-Risk(VaR). We calculate the VaR value for 10 SSE stocks; the VaR values calculated using the switching regime beta model are preferred to other methods. The Proportion of Failure tests confirm this result

关键词： Markov chain regime swatch Stock market VaR

作者: Jia-peng LIU Tao SU

作者单位: School of Public Policy and Management Tsinghua University Beijing, China Institute of Statistical Science Tianjin Bureau of Statistics Tianjin, China

会议类型: 国际会议

会议名称: 2011 International Conference on Database and Data Mining(ICDDM 2011)(2011年数据库和数据挖掘国际会议)

会议地点: 三亚

会议语种:英文

页码: 191-194

在线出版日期: 2011-03-25（万方平台首次上网日期，不代表论文的发表时间）