Estimation of the Portfolio's Value-at-Risk Using Factor APGARCH-M Model

被引：0

作者：

Wang, Ping ^{[1
]}

机构：

[1] Qingdao Univ Sci & Technol, Sch Math & Phys, Qingdao, Peoples R China

来源：

EBM 2010: INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT, VOLS 1-8 | 2010年

关键词：

VaR; portfolio; principal component; factor APGARCH-M model;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, a new VaR (Value-at-Risk) model of portfolios is established: factor APGARCH-M (factor Asymmetric Power GARCH-M), which is based on principal component analysis and the APGARCH-M model. Empirical study using six stock index of Shenzhen stock market shows that factor APGARCH-M model calculates VaR of portfolios easily and accurately.

引用

页码：4144 / 4146

页数：3