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 1547-5816
Full text not available in this repository. (Request a copy from the Strathclyde author)Abstract
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.
| Item type: | Article |
|---|---|
| ID code: | 5460 |
| Keywords: | value-at-risk, switching regime, ARCH model, clustering, leptokurtosis, fat-tailed distribution, back-testing, statistics, modelling science, Statistics |
| Subjects: | Social Sciences > Statistics |
| Department: | Faculty of Science > Mathematics and Statistics |
| Related URLs: | |
| Depositing user: | Strathprints Administrator |
| Date Deposited: | 06 Mar 2008 |
| Last modified: | 12 Mar 2012 10:43 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/5460 |
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