Title :
Notice of Retraction
Estimation of value at risk for Chinese financial market: ARMA-FIAPARCH-SKST model
Author :
Yu Lin ; Yanxiang Chen ; Jianying Luo
Author_Institution :
Bus. Sch., 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.
Asymmetry and long memory of return and volatility are two important stylized facts in financial market, an effective financial risk management must be consider them. Therefore, this paper uses ARMA (1,1)-FIAPARCH (1,d,1)-SKST to estimate dynamic Value at Risk(VaR), and apply Kupiec´s LRT technique to test risk measurement accuracy of different risk model. Our results show that ARMA(1,1)-FIAPARCH(1,d,1)-SKST model is best excellent model which was used in this paper; SKST fit distribution of financial return; Risk Metrics model can not measure risk of finance market accurately.
Keywords :
financial management; risk management; ARMA-FIAPARCH-SKST model; Chinese financial market; financial return distribution; financial risk management; risk metrics model; Biological system modeling; Variable speed drives; ARMA-FIAPARCH-SKST; Financial market; Measurement; Value-at-Risk;
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.2010.5553227
