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A Study on the Application of Quantile Regression Equation in Forecasting Financial Value at Risk in Financial Markets

Lin Chen

Lin Chen

Department of Economic Management, Science and Technology College, Gannan Normal UniversityGanzhou, China
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Chen, Lin
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Ibrahim Hatamleh

Ibrahim Hatamleh

College of Administrative Sciences, Applied Science UniversityBahrain
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Hatamleh, Ibrahim
  
Jul 15, 2022
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Published Online: Jul 15, 2022
Page range: 1861 - 1870
Received: Apr 28, 2022
Accepted: Jun 17, 2022
DOI: https://doi.org/10.2478/amns.2022.2.0174
Keywords
© 2023 Lin Chen et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.

Figure 1

Quantile regression model
Quantile regression model

Figure 2

VAR model research method
VAR model research method

Figure 3

Structure of the RiskMetatial model
Structure of the RiskMetatial model

Figure 4

RiskMetrics mixed-normal plot
RiskMetrics mixed-normal plot

Figure 5

ARCH model
ARCH model

Figure 6

Monte Carlo simulation method
Monte Carlo simulation method
Language:
English
Publication timeframe:
1 times per year
Journal Subjects:
Life Sciences, Life Sciences, other, Mathematics, Applied Mathematics, General Mathematics, Physics, Physics, other
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