A Study on the Application of Quantile Regression Equation in Forecasting Financial Value at Risk in Financial Markets
Publié en ligne: 15 juil. 2022
Pages: 1861 - 1870
Reçu: 28 avr. 2022
Accepté: 17 juin 2022
© 2023 Lin Chen et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.
Figure 1
Quantile regression modelFigure 2
VAR model research methodFigure 3
Structure of the RiskMetatial modelFigure 4
RiskMetrics mixed-normal plotFigure 5
ARCH modelFigure 6
Monte Carlo simulation method