利用PGARCH-M模型估计风险值

Estimation of Value-at-risk Using PGARCH-M Model

建立一种新的度量风险值(VaR)模型PGARCH-M(PowerGARCH-M),并利用该模型,通过对工业指数和地产指数的VaR计算,得出基于GED分布的PGARCH-M模型估计VaR极端值更为精确,优于基于正态分布的PGARCH-M模型和PGARCH模型。

A new VaR model is established： PGARCH-M（Power GARCH-M）. Empirical study using historical data of closing price of industy and index shows that PGARCH-M model based on GED distribution calculate VaR accurately, outperform PGARCH model and PGARCH-M model based on normal distribution, espcialy for extreme quantile.