Analysis of Value-at-Risk in Shanghai Stock Market using OGARCH-class Models
スポンサーリンク
概要
- 論文の詳細を見る
The purpose of this paper is to detect and propose appropriate models to forecast the Value-at-Risk (VaR) of A-Share index of Shanghai Market. We apply OGARCH-class models (Liu and Morimune (2005)) to estimate the daily VaR, and forecast the one-day-ahead VaR of the log returnsof the A-Share index of Shanghai market. By comparison, we show that the OGARCH-class approach outperform the related GARCE-class models. Moreover, we propose some combined models of OGARCH and EVT models. Empirical studies described herein show that these combined models provide better performance than other models used in this paper.
- Kyoto Universityの論文
Kyoto University | 論文
- Near-infrared source counts in the galactic plane. Part 2: A list of near-infrared sources
- On the conger els related to Arisoma nystromi(Jordan et Snyder)found in the waters of Japan and China
- On a theorem of Weitzenbock in invariant theory.
- Efficiency Improvement by Local Moments in Grouped Data Analysis
- Analysis of Value-at-Risk in Shanghai Stock Market using OGARCH-class Models