<abstract xmlns="http://www.w3.org/1999/xhtml"><p>This paper described the volatility characteristic of the rate of return of financial asset by using QR-GARCH model, through introducing EVT model and constructing the extreme risk measure model based on QR-GARCH-EVT. In this paper, HS300 index data test was applied to show that under 5% significance level, and QR-GARCH-EVT model can effectively measure the risk value of the sample, but under 1% significance level. QR-GARCH-EVT model will underestimate the risk value of the sample to a certain degree, but generally speaking, compared with other models, the risk value measured by QR-GARCH-EVT model has a higher accuracy to enhance effectiveness.</p></abstract>

This paper described the volatility characteristic of the rate of return of financial asset by using QR-GARCH model, through introducing EVT model and constructing the extreme risk measure model based on QR-GARCH-EVT. In this paper, HS300 index data test was applied to show that under 5% significance level, and QR-GARCH-EVT model can effectively measure the risk value of the sample, but under 1% significance level. QR-GARCH-EVT model will underestimate the risk value of the sample to a certain degree, but generally speaking, compared with other models, the risk value measured by QR-GARCH-EVT model has a higher accuracy to enhance effectiveness.

Measurement of Risk Based on QR-GARCH-EVT Model

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Measurement of Risk Based on QR-GARCH-EVT Model"}

This paper described the volatility characteristic of the rate of return of financial asset by using QR-GARCH model, through introducing EVT model and...

HS300	u	1.569
	ξ	0.054
	σ	0.561

Model	Confidence Level	Failed Days	Failure Rate	LR
GARCH	95%	155	5.60%	2.034
GARCH-EVT	95%	136	4.92%	0.042
QR-GRACH	95%	149	5.38%	0.843
QR-GARCH-EVT	95%	132	4.77%	0.311
GARCH	99%	32	1.16%	0.390
GARCH-EVT	99%	30	1.08%	0.977
QR-GRACH	99%	35	1.26%	0.017
QR-GARCH-EVT	99%	31	1.12%	1.262

Measurement of Risk Based on QR-GARCH-EVT Model

Publicado en línea: 20 ago 2020

Páginas: 473 - 482

Recibido: 28 nov 2019

Aceptado: 01 feb 2020

DOI: https://doi.org/10.2478/amns.2020.2.00025

Palabras clave
Value at Risk, QR-GARACH, EVT

© 2020 Jun Duan et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Fig. 2

Fig. 3

Fig. 4

Fig. 5

POT Model Estimation Results

Descriptive Statistics of Sample Data

The Estimation Results of the QR-GARCH Model of the HS300 Return

Quantile Risk Value and Test Under Different Conditions

Measurement of Risk Based on QR-GARCH-EVT Model

Publicado en línea: 20 ago 2020

Páginas: 473 - 482

Recibido: 28 nov 2019

Aceptado: 01 feb 2020

DOI: https://doi.org/10.2478/amns.2020.2.00025

Palabras claveValue at Risk, QR-GARACH, EVT

© 2020 Jun Duan et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Fig. 2

Fig. 3

Fig. 4

Fig. 5

POT Model Estimation Results

Descriptive Statistics of Sample Data

The Estimation Results of the QR-GARCH Model of the HS300 Return

Quantile Risk Value and Test Under Different Conditions

Palabras clave
Value at Risk, QR-GARACH, EVT