Ip, W. and Wong, H. and Pan, J. and Yuan, K. (2006) Estimating value-at-risk for Chinese stock market by switching regime ARCH model. Journal of Industrial and Management Optimization, 2 (2). pp. 145-163. ISSN 1547-5816Full text not available in this repository. (Request a copy from the Strathclyde author)
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 com- pared. 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.
|Keywords:||value-at-risk, switching regime, ARCH model, clustering, leptokurtosis, fat-tailed distribution, back-testing, statistics, modelling science, Statistics, Control and Optimization, Business and International Management, Strategy and Management, Applied Mathematics|
|Subjects:||Social Sciences > Statistics|
|Department:||Faculty of Science > Mathematics and Statistics|
|Depositing user:||Strathprints Administrator|
|Date Deposited:||06 Mar 2008|
|Last modified:||16 Jan 2017 01:02|