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GARCH-GPD for Financial Risk Measure Based on Hybrid Genetic Algorithm

GARCH-GPD for Financial Risk Measure Based on Hybrid Genetic Algorithm
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摘要 The shape parameter and scale parameter of generalized Pareto distribution are estimated by hybrid of genetic algorithm and pattern search.The volality of the return is obtained by GARCH model.VaR and CVaR are computed respectively under GPD model and GARCH-GPD model.The experimental results show that VaR and CVaR based on GARCH-GPD are more effectively measure the financial risks. The shape parameter and scale parameter of generalized Pareto distribution are estimated by hybrid of genetic algorithm and pattern search. The volality of the return is obtained by GARCH model. VaR and CVaR are computed respectively under GPD model and GARCH-GPD model. The experimental results show that VaR and CVaR based on GARCH-GPD are more effectively measure the financial risks.
作者 CHEN Xiu-fang
机构地区 College of Electrical &Electronic Engineering Wuhan Polytechnic University Wuhan
出处 《科技视界》 2013年第26期241-242,共2页 Science & Technology Vision
关键词 金融风险 计算方法 混合遗传算法 GPD模型 GPD Genetic algorithm Pattern search Risk measure
分类号 F832.1 [经济管理—金融学] O242.23 [理学—计算数学]
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科技视界
2013年 第26期

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