基于Skew-t-FIAPARCH的金融市场动态风险VaR测度研究

本文引入FIAPARCH模型刻画金融价格条件波动率特征,引入有偏学生t分布捕获收益率有偏特征,并以此来测度金融市场动态风险VaR;进而运用返回测试和动态分位数回归方法对风险测度模型准确性进行实证检验.结果表明,RiskMetrics和GARCH-N测度金融市场的风险的可靠性差;有偏学生t分布比正态分布、学生t分布更能准确反应金融收益分布实际特征,具有更高的风险测度能力;FIAPARCH-SKST展示出比其它模型具有绝对优越的风险测度效果.

Study on Dynamic Risk Measure of Financial Markets Based on Skew-t-FIAPARCH Model

This paper Appies FIAPARCH and skew student t distribution to capture conditional volatility and skew distribution in financial return respectively, then measures dynamic Value at Risk(VaR), and uses Back-testing and Dynamic Quantile Regression(DQR) to test accuracies of different risk models.Our results indicate that RiskMetrics model and GARCH-Normal model can not measure dynamic financial markets risk accurately;skew student t distribution is a more fit distribution of financial conditional return than standard student t distribution and standard Normal distribution;and, AR-FIAPARCH-SKST model is the best risk measurement model among all models studied in this paper.