April  2006, 2(2): 145-163. doi: 10.3934/jimo.2006.2.145

Estimating value-at-risk for chinese stock market by switching regime ARCH model

1. 

Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, China, China

2. 

LMAM and Department of Financial Mathematics, School of Mathematical Sciences, Peking University, Beijing 100871, China, China

Received  May 2005 Revised  September 2005 Published  April 2006

This paper proposes a method of estimating Value at Risk (VaR) based on the assumption that the financial returns follow a switching regime ARCH model. We use the simple switching-regime model, the traditional GARCH(1,1) model and the switching-regime ARCH model to do some empirical analysis and to calculate the VaR values under different confidence levels for Shanghai and Shenzhen Stock Index. The calculated VaR values are compared. The results of back-testing and the Proportion of Failure test show the VaR values calculated by the switching-regime ARCH model are preferred to other methods.
Citation: W.C. Ip, H. Wong, Jiazhu Pan, Keke Yuan. Estimating value-at-risk for chinese stock market by switching regime ARCH model. Journal of Industrial & Management Optimization, 2006, 2 (2) : 145-163. doi: 10.3934/jimo.2006.2.145
[1]

Siyang Cai, Yongmei Cai, Xuerong Mao. A stochastic differential equation SIS epidemic model with regime switching. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020317

[2]

Youming Guo, Tingting Li. Optimal control strategies for an online game addiction model with low and high risk exposure. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020347

[3]

Kalikinkar Mandal, Guang Gong. On ideal $ t $-tuple distribution of orthogonal functions in filtering de bruijn generators. Advances in Mathematics of Communications, 2020  doi: 10.3934/amc.2020125

[4]

Tomáš Smejkal, Jiří Mikyška, Jaromír Kukal. Comparison of modern heuristics on solving the phase stability testing problem. Discrete & Continuous Dynamical Systems - S, 2021, 14 (3) : 1161-1180. doi: 10.3934/dcdss.2020227

[5]

Jason Murphy, Kenji Nakanishi. Failure of scattering to solitary waves for long-range nonlinear Schrödinger equations. Discrete & Continuous Dynamical Systems - A, 2021, 41 (3) : 1507-1517. doi: 10.3934/dcds.2020328

[6]

Huanhuan Tian, Maoan Han. Limit cycle bifurcations of piecewise smooth near-Hamiltonian systems with a switching curve. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020368

[7]

Ripeng Huang, Shaojian Qu, Xiaoguang Yang, Zhimin Liu. Multi-stage distributionally robust optimization with risk aversion. Journal of Industrial & Management Optimization, 2021, 17 (1) : 233-259. doi: 10.3934/jimo.2019109

[8]

Haodong Yu, Jie Sun. Robust stochastic optimization with convex risk measures: A discretized subgradient scheme. Journal of Industrial & Management Optimization, 2021, 17 (1) : 81-99. doi: 10.3934/jimo.2019100

[9]

Hongguang Ma, Xiang Li. Multi-period hazardous waste collection planning with consideration of risk stability. Journal of Industrial & Management Optimization, 2021, 17 (1) : 393-408. doi: 10.3934/jimo.2019117

[10]

Marek Macák, Róbert Čunderlík, Karol Mikula, Zuzana Minarechová. Computational optimization in solving the geodetic boundary value problems. Discrete & Continuous Dynamical Systems - S, 2021, 14 (3) : 987-999. doi: 10.3934/dcdss.2020381

[11]

Haixiang Yao, Ping Chen, Miao Zhang, Xun Li. Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020166

[12]

Wenyuan Wang, Ran Xu. General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020179

[13]

Nguyen Huy Tuan. On an initial and final value problem for fractional nonclassical diffusion equations of Kirchhoff type. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020354

[14]

Vo Van Au, Hossein Jafari, Zakia Hammouch, Nguyen Huy Tuan. On a final value problem for a nonlinear fractional pseudo-parabolic equation. Electronic Research Archive, 2021, 29 (1) : 1709-1734. doi: 10.3934/era.2020088

[15]

Nguyen Huu Can, Nguyen Huy Tuan, Donal O'Regan, Vo Van Au. On a final value problem for a class of nonlinear hyperbolic equations with damping term. Evolution Equations & Control Theory, 2021, 10 (1) : 103-127. doi: 10.3934/eect.2020053

[16]

Antoine Benoit. Weak well-posedness of hyperbolic boundary value problems in a strip: when instabilities do not reflect the geometry. Communications on Pure & Applied Analysis, 2020, 19 (12) : 5475-5486. doi: 10.3934/cpaa.2020248

[17]

Mokhtar Bouloudene, Manar A. Alqudah, Fahd Jarad, Yassine Adjabi, Thabet Abdeljawad. Nonlinear singular $ p $ -Laplacian boundary value problems in the frame of conformable derivative. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020442

[18]

Yi Zhou, Jianli Liu. The initial-boundary value problem on a strip for the equation of time-like extremal surfaces. Discrete & Continuous Dynamical Systems - A, 2009, 23 (1&2) : 381-397. doi: 10.3934/dcds.2009.23.381

[19]

Amru Hussein, Martin Saal, Marc Wrona. Primitive equations with horizontal viscosity: The initial value and The time-periodic problem for physical boundary conditions. Discrete & Continuous Dynamical Systems - A, 2020  doi: 10.3934/dcds.2020398

[20]

Vo Van Au, Mokhtar Kirane, Nguyen Huy Tuan. On a terminal value problem for a system of parabolic equations with nonlinear-nonlocal diffusion terms. Discrete & Continuous Dynamical Systems - B, 2021, 26 (3) : 1579-1613. doi: 10.3934/dcdsb.2020174

2019 Impact Factor: 1.366

Metrics

  • PDF downloads (31)
  • HTML views (0)
  • Cited by (0)

Other articles
by authors

[Back to Top]