<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...

Measurement of Risk Based on QR-GARCH-EVT Model

Pubblicato online: 20 ago 2020

Pagine: 473 - 482

Ricevuto: 28 nov 2019

Accettato: 01 feb 2020

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

Parole chiave
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.

Measurement of Risk Based on QR-GARCH-EVT Model

Pubblicato online: 20 ago 2020

Pagine: 473 - 482

Ricevuto: 28 nov 2019

Accettato: 01 feb 2020

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

Parole chiaveValue 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.

Parole chiave
Value at Risk, QR-GARACH, EVT