Estimating value-at-risk for Chinese stock market by switching regime ARCH model

Tools

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

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.

ORCID iDs

Ip, W., Wong, H., Pan, J. ORCID logoORCID: https://orcid.org/0000-0001-7346-2052 and Yuan, K.;
CORE (COnnecting REpositories)