•   Home
  • Proceedings
  • International Conference on Engineering and Business Managem...

International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title: A VaR Calculation Method by Introducing the Panel GARCH Model
Source: International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 3902-3907)
Author(s): Fei Jin, School of Economics and Management, UESTC, Chengdu 610054, China
Yixiang Tian, School of Economics and Management, UESTC, Chengdu 610054, China
Liucun Lu, School of Economics and Management, UESTC, Chengdu 610054, China
Abstract: Abstract: This paper applies panel GARCH model to solve the problem of deficiency in calculating VaR with more than one risk factor by existing models. Comparing with classical GARCH models that can only be used in single risk factor, the model in this paper, by introducing panel data method to integrate the multi-risk-factor into a single model, can not only capture heteroscedasticity, excess kurtosis and fat tail characteristic of financial time series, but also sufficiently consider the correlation among the risk factors. Our approach can effectively reduce the correlation, reduce the number of estimated parameters, and raise estimation efficiency. Comparing with classical GARCH method in the empirical studies, we find that the estimates of VaR based on our panel GARCH model are better than that on classical GARCH models.
Proceedings by Subjects
Resources
Products
Contact us
book@scirp.org
WhatsApp +86 18163351462(WhatsApp)
Click here to send a message to me 1243940697
Book Publishing WeChat
Follow SCIRP
Free SCIRP Newsletters
Copyright © 2006-2024 Scientific Research Publishing Inc. All Rights Reserved.
Top