@article{oai:barrel.repo.nii.ac.jp:00002819,
 author = {Liu, Qingfeng},
 journal = {21COE Interfaces for Advanced Economic Analysis Discussion Paper},
 month = {Dec},
 note = {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.},
 pages = {1--36},
 title = {Analysis of Value-at-Risk in Shanghai Stock Market using OGARCH-class Models},
 volume = {118},
 year = {2006}
}