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Evaluating Predictive Performance of Value-at-Risk Models in Chinese Stock Markets
Company: Lingnan University
Year Of Publication: 2007
Month Of Publication: May
Resource Link: Click here to open
Pages: 75
Download Count: 0
View Count: 1148
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 12-31-2012
Publisher: Administrator
Summary
The purpose of this MPhil thesis is to compare the applicability of different parametric VaR methods for Chinese equity portfolios. We will also analyze whether equity market cap has any impact on the VaR methods. The study covers four VaR approaches at the 95% and 99% confidence levels. Moreover, in order to describe skewness and kurtosis, we propose EWMA approach with a mixture of normal distributions. Based on these results we discuss the implications of VaR for asset managers. GARCH-normal is superior to Riskmetrics approach at both 95% and 99% confidence levels. The LOG-MLE (maximum Likelihood Estimation) can be improved when GARCH-t approach is used to replace GARCH-normal. However, GARCH-t is more conservative than GARCH-normal at 95% confidence level. At the same time, EWMA with mixed normal distributions is superior to RiskMetrics approach at 99% confidence level, but it is too conservative at 95% confidence level.
The document may be downloaded without charge from Lingnan University by clicking the 'Buy from Publisher' button.
Author(s)
Ou, Jian She Sign in to follow this author
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