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《Journal of Taiyuan Normal University(Natural Science Edition)》 2015-01
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The Calculation of VaR Based on EGARCH-εt-GPD Model

Tang Ning;Feng Changhuan;He Qinyang;School of Mathematics and Information,China West Normal University;  
In the process of calculating the VaR by the traditional extremum theory,generally in the first the GARCH model is set up on the time sequence,and then,the extremum theory is adopted to model the residual sequence so as to estimate the VaR.But when modeling in the conditional variance equation of the GARCH model,people only consider the influence of the random error term of the past on the variance while ignoring the contribution made by the random error term of the current to the variance.Therefore,when the EGARCH model is set up on the time series by the author,the random error term of the current is brought in the variance equation.And,the GPD model is built on the residual error to study its value at risk and to analyze it empirically.The result shows that the accuracy of the VaR is higher by the way that the VaR is incorporated with the random error term of the current.
【Fund】: 西华师范大学基本科研业务费专项资金资助(14C004);; 南充市社科规划一般规划课题(NC2013B027)
【CateGory Index】: O212.1
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