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