• DocumentCode
    1658233
  • Title

    A Measuring Approach of Portfolio´s VaR Based on APGARCH-EWMA Model

  • Author

    Wang, Ping

  • Author_Institution
    Coll. of Math. Sci. & Phys., Qingdao Unniversity of Sci. & Technol., Qingdao, China
  • fYear
    2010
  • Firstpage
    6
  • Lastpage
    8
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Information Processing (ISIP), 2010 Third International Symposium on
  • Conference_Location
    Qingdao
  • Print_ISBN
    978-1-4244-8627-4
  • Type

    conf

  • DOI
    10.1109/ISIP.2010.118
  • Filename
    5668984
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1658233