Value-at-Risk Estimation Based on Empirical Likelihood Method

Zhao Wei Meng; Pei Chao Yu

doi:10.4028/www.scientific.net/AMR.143-144.1

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 143-144Value-at-Risk Estimation Based on Empirical...

Value-at-Risk Estimation Based on Empirical Likelihood Method

Abstract:

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.

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Advanced Materials Research (Volumes 143-144)

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1-5

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.143-144.1

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Online since:

October 2010

Authors:

Zhao Wei Meng, Pei Chao Yu

Keywords:

Empirical Likelihood, GARCH Model, Value-at-Risk (VaR)

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