Calculation of VaR with the Bootstrap Method Based on Experts Predict in Mechanical Engineering

Xia Shi

doi:10.4028/www.scientific.net/AMR.681.60

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HomeAdvanced Materials ResearchAdvanced Materials Research Vol. 681Calculation of VaR with the Bootstrap Method Based...

Calculation of VaR with the Bootstrap Method Based on Experts Predict in Mechanical Engineering

Abstract:

Based on GARCH model to catch the financial data of auto correlation and volatility clustering, while the use of expert predictive value and the short term newer data using the Bootstrap method for Vary estimation. Through the SSE Composite Index of empirical research, the results show that this method can avoid the old data invalid information, at the same time the financial experts forecast was introduced risk management, improve the accuracy of the computation

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Periodical:

Advanced Materials Research (Volume 681)

Pages:

60-64

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.681.60

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Online since:

April 2013

Authors:

Xia Shi

Keywords:

Bootstrap, Experts Predict, GARCH Model, Mechanical Engineering, Vary

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