基于TDAR模型的VaR估计方法及应用

Abstract

Abstract: In most literature, the measurement methods of VaR are based on the linear statement. However, in practice this assumption cannot be satisfied quite well. So it is needed to put forward the nonlinear estimation method of VaR. In contrast to the traditional model that allows model changes to occur in the "time" space, the threshold double AR model (TDAR) uses threshold space to model the nonlinear phenomena such as asymmetry and the structure change, and also allows the structure change of mean and volatility. In this paper, the method of TDAR-VaR is presented for the first time, and the empirical research and the leverage effect analysis on SZZS and HIS index are also covered. The empirical analysis shows that this method can predict the market risk very well.

Key words: threshold double AR model, VaR, nonlinear, leverage effect

CLC Number:

F830.9

JIANG Yong, WU Wu-qing, WANG Li-wei, YE Wu-yi, CHEN Min. The Estimating Method of VaR Based on the Threshold Double AR Model and its Application[J]. Chinese Journal of Management Science, 2012, 20(5): 1-6.

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The Estimating Method of VaR Based on the Threshold Double AR Model and its Application

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