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CAPM-EGARCH model based on financial risk measurement and Volatility Spillovers

Author: ZuoXueYi
Tutor: LiShuShan
School: Shandong University of Science and Technology
Course: Operational Research and Cybernetics
Keywords: VaR CAPM GARCH model EGARCH model Volatility spillover
CLC: F830
Type: Master's thesis
Year: 2008
Downloads: 100
Quote: 0
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Abstract


Value at Risk (VaR) is a kind of financial risk management tool, it is often used to determine the capital adequacy ratio. From a statistical sense, VaR is the number itself, it refers to the face \volume. Financial risk is a financial asset price fluctuations, so the risk is the core measure of price volatility estimates and projections. Volatility estimates in the past few decades has been the empirical finance and econometrics one of the most active areas, the estimation method has been greatly developed. First, because different models calculated results are different, what what kind of model accuracy it? Developed China's stock market is not mature enough, exactly what kind of model and features of China's stock market to adapt to it? So for China's stock market characteristics, it is necessary to design a model to calculate the stock VaR. Firstly, with the Shanghai Composite analysis of the data, compare the ARCH model, GARCH model, EGARCH model, ComponentARCH, GARCH-M calculated VaR values, and finally concluded EGARCH model to calculate the VaR of more reasonable. Secondly, we note that in the current literature series modeling for financial market returns are used when a random walk process, however, using a random walk process for financial products or financial product portfolio returns modeling does not take on the entire financial market returns single financial product or financial impact of product portfolio returns. The literature suggests that a large number of individual financial products or financial product portfolio returns by the entire financial market is a big influence. The CAPM model can be a good solution to this problem. Therefore, in order to solve this problem, the use of CAPM-EGARCH model to model stock returns and the CAPM-EGARCH model is extended to CAPM-Duplicate-EGARCH model, evidence shows that this model to calculate the VaR value than traditional EGARCH model used on more effective. Finally, we examined a number of financial markets on a single financial market volatility spillover common, volatility spillover effect refers to the different financial market volatility may exist between the mutual influence fluctuations from one market to another market. Volatility spillover effects may exist between different geographical markets, may also exist between different types of markets, such as stock market, foreign exchange market, bond market, etc. between. In this paper, Granger causality test to determine the volatility spillovers between the two markets, and the introduction of multiple factor analysis method to eliminate correlation between domestic and foreign securities markets, the use of multiple EGARCH model common securities on the Shenzhen stock market volatility spillover effects.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory
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