Measurement of Risk Based on QR-GARCH-EVT Model

• Autores: Jun Duan Baoshuai Zhang
• Localización: Applied Mathematics and Nonlinear Sciences, ISSN-e 2444-8656, Vol. 5, Nº. 2, 2020, págs. 473-482
• Idioma: inglés
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• Resumen

  • This paper described the volatility characteristic of the rate of return of financial asset by using QR-GARCH model, through introducing EVT model and constructing the extreme risk measure model based on QR-GARCH-EVT. In this paper, HS300 index data test was applied to show that under 5% significance level, and QR-GARCH-EVT model can effectively measure the risk value of the sample, but under 1% significance level. QR-GARCH-EVT model will underestimate the risk value of the sample to a certain degree, but generally speaking, compared with other models, the risk value measured by QRGARCH-EVT model has a higher accuracy to enhance effectiveness.