Estimation of Value-at-Risk Based on ARFIMA-FIAPARCH-SKST Model

Abstract:

This paper focus mainly on some important stylized facts in financial market, such as long memory, asymmetry and leverage effect, and so on, and apply ARFIMA-APARCH-SKST model to measure dynamic Value at Risk, at the same time, ARMA-EGARCH(APARCH)-SKST, ARFIMA- FIEGARCH-SKST are used to compare empirical effect of different risk model, at last, we apply LRT method to test accuracy of risk model. Our results indicate that all models used in this paper can measure dynamic VaR at 95%, 99% and 99.5% confidence levels, and there is no significant difference for different risk model for different stock markets. Moreover, we find also that long memory is not more valuable stylized fact than asymmetry for SSEC and S&P500.

• Periodical: Advanced Materials Research (Volume 601)
• Pages: 464-469
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.601.464
• Online since: December 2012
• Authors: Bin Tan
• Keywords: ARFIMA-FIAPARCH-SKST Model, Financial Market, LRT Testing, VaR Calculate

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