Forecasting Intraday Value-at-Risk Based on ACD Model in Chinese Stock Market

摘要：

　　It is one of the challenging topics to measure the risk of intraday trading activity based on high frequency data in risk management.From the perspective of real-time transactions, this paper uses the tick-by tick data of Shenzhen Development Bank A share in China stock market to study the risk measurement for the irregular trading data based on the Autoregressive Conditional Duration (ACD) model of price duration.The instantaneous conditional volatility is estimated by using intraday irregular volatility model, which is applied to forecast the irregularly spaced intraday Value-at-Risk (ISIVaR) and carry out the back testing.The empirical results show that the ISIVaR model is good for forecasting the maximum losses in the different probability of loss.

关键词： price duration VaR Ultra-High-Frequency data ACD model

作者: Lu Wanbo

作者单位: School of Statistics, Southwestern University of Finance and Economics

会议类型: 国际会议

会议名称: The 4th Conference on Chinas Economic Operation Risk Management(2010·Shanghai)(第四届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 111-116

在线出版日期: 2010-10-14（万方平台首次上网日期，不代表论文的发表时间）