Measurement of Risk Based on QR-GARCH-EVT Model
Publié en ligne: 20 août 2020
Pages: 473 - 482
Reçu: 28 nov. 2019
Accepté: 01 févr. 2020
© 2020 Jun Duan et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.
POT Model Estimation Results
Descriptive Statistics of Sample Data
Sample | Mean | Max | Min | SD | Skewness | Kurtosis | J-B | Q(10) | ARCHLM(10) | ADF |
---|
HS300 | 0.0200 | 3.8786 | −4.4987 | 0.8460 | −0.4424 | 6.4561 | 1419 (0.0000) | 17.56 (0.0022) | 251.86 (0.0000) | −37.00 (0.0000) |
The Estimation Results of the QR-GARCH Model of the HS300 Return
Model Parameter | ω | α | β | η1 | η2 | δ | λ |
---|
Estimated Value p | −0.125 (0.021) | 0.264 (0) | 0.637 (0) | −0.053 (0.082) | 0.085 (0) | 1.025 (0) | 0.211 (0.641) |
Quantile Risk Value and Test Under Different Conditions
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 |