Value-at-Risk Estimation Based on Empirical Likelihood Method
Value at Risk ( ) is a method using statistical knowledge to measure financial risks, and its calculating core is to estimate or predicate fluctuation of the financial assets price. In recent years, the main method of estimating and predicating fluctuation of the financial assets price is the GARCH model. So to determine a reasonable GARCH model becomes the crux of calculating. In this paper, we proposed using empirical likelihood method to estimate , and we also proved that the empirical likelihood method is more effective and more concise than other current methods by simulation analysis.
H. Wang, B.J. Zhang, X.Z. Liu, D.Z. Luo, S.B. Zhong
Z. W. Meng and P. C. Yu, "Value-at-Risk Estimation Based on Empirical Likelihood Method", Advanced Materials Research, Vols. 143-144, pp. 1-5, 2011