Title :
A new VaR method based on information released
Author :
Liu, Xiaofeng ; Cao, Hua
Author_Institution :
Dept. of Finance, Nankai Univ., Tianjin, China
Abstract :
This paper attempts to use the GARCH model with macro information based on the VaR method to measure foreign exchange risk. We investigate the impact towards foreign exchange market of the macroeconomic information, and finds the released information of Sino-American monetary and retail trade has the biggest influence on foreign exchange market. We find adding macro information into the model could increase the information of estimation which would improve the VaR measurement results.
Keywords :
autoregressive moving average processes; macroeconomics; risk analysis; stock markets; GARCH model; Sino-American monetary; VaR method; exchange market; foreign exchange risk; macro information; macroeconomic information; retail trade; Economic indicators; Exchange rates; Fitting; Indexes; Marketing and sales; Reactive power; Information release; Risk management; VaR method;
Conference_Titel :
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location :
Deng Leng
Print_ISBN :
978-1-4577-0535-9
DOI :
10.1109/AIMSEC.2011.6010395
