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Measurement of Risk Based on QR-GARCH-EVT Model

Jun Duan

Jun Duan

School of Economics & Management, Chongqing Normal UniversityChina
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Duan, Jun
 e 
Baoshuai Zhang

Baoshuai Zhang

School of Economics & Management, Chongqing Normal UniversityChina
Cerca questo autore su
Sciendo|Google Scholar
Zhang, Baoshuai
  
20 ago 2020
Measurement of Risk Based on QR-GARCH-EVT Model's Cover Image
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Pubblicato online: 20 ago 2020
Pagine: 473 - 482
Ricevuto: 28 nov 2019
Accettato: 01 feb 2020
DOI: https://doi.org/10.2478/amns.2020.2.00025
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© 2020 Jun Duan et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Sequence Diagram of Sample Closing Price and Rate of Return.
Sequence Diagram of Sample Closing Price and Rate of Return.

Fig. 2

Frequency Chart and Q-Q Diagram of the Yield Sequence.
Frequency Chart and Q-Q Diagram of the Yield Sequence.

Fig. 3

The Mean Residual live plot of the residual sequence.
The Mean Residual live plot of the residual sequence.

Fig. 4

HS300 Residual Sequence EVT Model Diagnosis Diagram.
HS300 Residual Sequence EVT Model Diagnosis Diagram.

Fig. 5

Risk Values Under the Number of Quantiles 0.01 and 0.05.
Risk Values Under the Number of Quantiles 0.01 and 0.05.

POT Model Estimation Results

HS300u1.569
ξ0.054
σ0.561

Descriptive Statistics of Sample Data

SampleMeanMaxMinSDSkewnessKurtosisJ-BQ(10)ARCHLM(10)ADF
HS3000.02003.8786−4.49870.8460−0.44246.45611419 (0.0000)17.56 (0.0022)251.86 (0.0000)−37.00 (0.0000)

The Estimation Results of the QR-GARCH Model of the HS300 Return

Model Parameterωαβη1η2δλ
Estimated Value p−0.125 (0.021)0.264 (0)0.637 (0)−0.053 (0.082)0.085 (0)1.025 (0)0.211 (0.641)

Quantile Risk Value and Test Under Different Conditions

ModelConfidence LevelFailed DaysFailure RateLR
GARCH95%1555.60%2.034
GARCH-EVT95%1364.92%0.042
QR-GRACH95%1495.38%0.843
QR-GARCH-EVT95%1324.77%0.311
GARCH99%321.16%0.390
GARCH-EVT99%301.08%0.977
QR-GRACH99%351.26%0.017
QR-GARCH-EVT99%311.12%1.262
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