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	Estimating Value-at-Risk for Chinese stock market by switching regime arch model
	Ip, W. C. ; Wong, H. ; Pan, Jiazhu ; Yuan, Keke
	2006
关键词	Value-at-Risk switching regime ARCH model volatility clustering leptokurtosis fat-tailed distribution back-testing proportion of failure test AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY BUSINESS-CYCLE INTEREST-RATES VARIANCE VOLATILITY INFLATION RETURNS
英文摘要	This paper proposes a method of estimating Value at Risk (VaR) based on the assumption that the financial returns follow a switching regime ARCH model. We use the simple switching-regime model, the traditional GARCH(1,1) model and the switching-regime ARCH model to do some empirical analysis and to calculate the VaR values under different confidence levels for Shanghai and Shenzhen Stock Index. The calculated VaR values are compared. The results of back-testing and the Proportion of Failure test show the VaR values calculated by the switching-regime ARCH model are preferred to other methods.; Engineering, Multidisciplinary; Operations Research & Management Science; Mathematics, Interdisciplinary Applications; SCI(E); SSCI; 0; ARTICLE; 2; 145-163; 2
语种	英语
出处	SCI
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/398834]
专题	数学科学学院
推荐引用方式 GB/T 7714	Ip, W. C.,Wong, H.,Pan, Jiazhu,et al. Estimating Value-at-Risk for Chinese stock market by switching regime arch model. 2006-01-01.

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