基于虚拟变量分位点回归模型的条件VaR估计以及杠杆效应分析

Chinese Journal of Management Science ›› 2010, Vol. 18 ›› Issue (4): 1-7.

Estimating of Conditional VaR and Analysis of Leverage Effect Based on Dull Variable Quantile Regression Model

YE Wu-yi, CHEN Jie-cheng, MIAO Bai-qi

Department of Statistics and Finance, School of Management, USTC, Hefei 230026, China

Received:2009-11-30 Revised:2010-07-02 Online:2010-08-30 Published:2010-08-30

Abstract

Abstract: The leverage effect is often analyzed by ARCH type models in most articles. In This paper,the dull variable quantile regr ession model is used to estimate the CVaR,which is conditioned on the realized volatility. And the leverage effect is analyzed from view of market risk. At last,an empirical analysis of Stock market of China is presented. The CVaR is estimated,and the leverage is also verified.

Key words: dull variable quantile regression model, realized volatility, conditional value at risk(VaR), leverage effect

CLC Number:

F830.9

YE Wu-yi, CHEN Jie-cheng, MIAO Bai-qi. Estimating of Conditional VaR and Analysis of Leverage Effect Based on Dull Variable Quantile Regression Model[J]. Chinese Journal of Management Science, 2010, 18(4): 1-7.

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Estimating of Conditional VaR and Analysis of Leverage Effect Based on Dull Variable Quantile Regression Model

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