Title :
Notice of Retraction
Risk measurement of Chinese SMEB stock market: An APARCH-SKST approach
Author :
Yanxiang Chen ; Jianying Luo
Author_Institution :
Coll. of Inf. Manage., Chengdu Univ. of Technol., Chengdu, China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
This paper use the APARCH(1,1) to model the conditional volatility of Small & Medium Enterprise Board stock market, and use normal, student t and skewed student t distribution to model the standardized residual of conditional loss of SMEB, and then compute dynamic value-at-risk, at last, we use Kupiec´s LR statistic to test the accuracy of risk measurement model. Our results show that the APARCH(1,1) model with skew student t distribution exhibits outperform ability of VaR of SMEB, skew student t distribution fits to residual series well.
Keywords :
risk management; small-to-medium enterprises; statistical distributions; stock markets; APARCH-SKST approach; Chinese SMEB stock market; Kupiec´s LR statistic; VaR; conditional volatility; residual series; risk measurement model; skew student t distribution; small & medium enterprise board stock market; value-at-risk; Atmospheric measurements; Biological system modeling; Particle measurements; Testing; Variable speed drives; APARCH model; LR testing; Risk measurement; SMEB;
Conference_Titel :
Advanced Management Science (ICAMS), 2010 IEEE International Conference on
Conference_Location :
Chengdu
Print_ISBN :
978-1-4244-6931-4
DOI :
10.1109/ICAMS.2010.5553214
