Comparison of VaR based on GARCHand SV models
DOI:
Author:
Affiliation:

Clc Number:

Fund Project:

  • Article
  • |
  • Figures
  • |
  • Metrics
  • |
  • Reference
  • |
  • Related
  • |
  • Cited by
  • |
  • Materials
  • |
  • Comments
    Abstract:

    This paper reviews the concept and the calculating method of Value at Risk( VaR) and points out the im2 portance of predicting the volatility of market factor for calculating VaR. Compared with GARCH models , SV model is superior to describe the characters of financial market . A SV model is used to define the volatility which is needed to estimate VaR. The experimental research manifest that the SV model predicts the volatility of market return per2 fectly and the following VaR reflect the risk level of Chinese stock market properly.

    Reference
    Related
    Cited by
Get Citation
Share
Article Metrics
  • Abstract:
  • PDF:
  • HTML:
  • Cited by:
History
  • Received:
  • Revised:
  • Adopted:
  • Online:
  • Published:
You are the th visitor Address:Room 908, Building A, 25th Teaching Building, Tianjin University, 92 Weijin Road, Nankai District, Tianjin Postcode:300072
Telephone:022-27403197 Email:jmsc@tju.edu.cn