Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/16473
Title: Estimating Value-at-Risk for Chinese stock market by switching regime arch model
Authors: Ip, WC
Wong, H 
Pan, J
Yuan, K
Keywords: Value-at-Risk
Switching regime
ARCH model
Volatility clustering
Leptokurtosis
Fat-tailed distribution
Back-testing
Proportion of failure test
Issue Date: 2006
Publisher: American Institute of Mathematical Sciences
Source: Journal of industrial and management optimization, 2006, v. 2, no. 2, p. 145-163 How to cite?
Journal: Journal of industrial and management optimization 
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 compared. 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.
URI: http://hdl.handle.net/10397/16473
ISSN: 1547-5816
EISSN: 1553-166X
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