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Analysis of Value-at-Risk in Shanghai Stock Market using OGARCH-class Models
http://hdl.handle.net/10252/3277
http://hdl.handle.net/10252/32770344de0a-f311-41da-9693-ba7b353d93c5
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
CAEAdp118.pdf (3.4 MB)
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| Item type | 学術雑誌論文 / Journal Article(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2009-09-17 | |||||
| タイトル | ||||||
| タイトル | Analysis of Value-at-Risk in Shanghai Stock Market using OGARCH-class Models | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | journal article | |||||
| 著者 |
Liu, Qingfeng
× Liu, Qingfeng |
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| bibliographic_information |
en : 21COE Interfaces for Advanced Economic Analysis Discussion Paper 巻 118, p. 1-36, 発行日 2006-12 |
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| 出版者 | ||||||
| 出版者 | Kyoto University | |||||
| 言語 | en | |||||
| 出版タイプ | ||||||
| 出版タイプ | VoR | |||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
| 日本十進分類法 | ||||||
| 言語 | ja | |||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| NIIサブジェクト | ||||||
| 言語 | ja | |||||
| 主題Scheme | Other | |||||
| 主題 | 経済学 | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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 returns of 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. | |||||
| 言語 | en | |||||
