The Stability Analysis and Time-varying Modeling of CAViaR for Chinese Stock Markets
Xin Hua LIU(1)(2),Da Shan HUANG(3)
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(1)Academy of Mathmetics and Systems Science; CAS;(2)Graduate School of the Chinese Academy of Sciences;(3)Department of Applied Mathematics and Physics,Graduate School of Informatics
In this paper, we introduce the CAViaR(Conditional Autoregressive Value at Risk by Regression Quantiles)model, proposed by Engle and Manganelli(1999) to compute VaR(Value at Risk), and its practical contributions for risk management. Given the stability of VaR modeling is usually important for prediction and econometric inference in practice, the Hansen’s test for parameter instability is carried on to explore the stability of CAViaR modeling of the risk of the Chinese stock market...
Xin Hua LIU
, Da Shan HUANG. , {{custom_author.name_en}}.
The Stability Analysis and Time-varying Modeling of CAViaR for Chinese Stock Markets. Systems Engineering - Theory & Practice, 2005, 25(3): 1-6 https://doi.org/10.12011/1000-6788(2005)3-1