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《Journal of Systems Engineering》 2008-01
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Study on dynamic risk measurement based on G JR and EVT

LIN Yu WEI Yu HUANG Deng-shi (The School of Economics and Management,Southwest Jiaotong University,Chengdu 610031,China)  
In order to measure dynamic VaR and ES,firstly,use ARMA-GJR model and MLE to obtain estimators of the conditional mean and conditional volatility and standardized residuals based on the indices losses with heavy-tails,leptokurtic,heteroscedasticity,autocorrelation and leverage effect and so on in Shanghai security integration index.And then select 175,105 and 35 extreme da- tum to estimate GPD parameters through MLE,further calculate daily dynamic VaR and ES,at last check the effect of risk measurement methods.Empirical results show that the standardized residual of the indices losses in Shanghai is near independent identically distributed,and fit EVT;ES is a more conservative way to measure security market risk than VaR.
【Fund】: 国家自然科学基金(70501025;70572089;70771097)
【CateGory Index】: F224
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