基于波动率模型的改进POT方法在风险测度估计中的应用

Dynamic Econometric Models Pub Date : 2009-07-18 DOI:10.12775/DEM.2009.012

M. Fałdziński

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引用次数: 0

摘要

本文的主要目的是提出并实证分析将波动率模型与来自极值理论的峰值超过阈值方法相结合的新方法。将该方法应用于金融时间序列中风险度量(VaR和ES)的估计。为了进行实证分析，进行了财务风险模型评价。在条件建模情况下，将POT方法与标准波动率模型(GARCH和SV)进行了比较。

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Application of Modified POT Method with Volatility Model for Estimation of Risk Measures

The main aim of this paper is the presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method that comes from extreme value theory. The new approach is applied for estimation of risk measures (VaR and ES) in financial time series. For the empirical analysis the financial risk model evaluation was conducted. In this paper the POT method was compared with standard volatility models (GARCH and SV) in case of the conditional modeling.

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来源期刊

Dynamic Econometric Models

自引率

0.00%

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审稿时长

2 weeks