Title :
A Measuring Approach of Portfolio´s VaR Based on APGARCH-EWMA Model
Author_Institution :
Coll. of Math. Sci. & Phys., Qingdao Unniversity of Sci. & Technol., Qingdao, China
Abstract :
Value at Risk (VaR) is a commonly statistical tool to measure market risk. In this paper, a mixture method of APGARCH-M model and EWMA algorithm is applied to measure VaR of a portfolio. Empirical study using three stock index of shanghai stock market shows the mixture method is advantageous and accurate to calculate VaR of a portfolio.
Keywords :
investment; risk analysis; statistical analysis; stock markets; APGARCH-M model; EWMA algorithm; Shanghai; VaR; market risk; portfolio; statistical tool; stock index; stock market; value at risk; Biological system modeling; Clustering algorithms; Consumer electronics; Correlation; Indexes; Portfolios; Risk management; APGARCH-M model; EWMA algorithm; VaR; portfolio;
Conference_Titel :
Information Processing (ISIP), 2010 Third International Symposium on
Conference_Location :
Qingdao
Print_ISBN :
978-1-4244-8627-4
DOI :
10.1109/ISIP.2010.118
