2010 International Conference on Financial Theory and Engineering

Application of EGARCH-GED Model in VaR Measurement
            By Tianjun YU and Yang WANG

Abstract—The GARCH model is used in simulating the volatility and VaR of the financial assets. The paper established an EGARCH-GED model to calculate the time varying VaR. Compared the VaR of the EGARCH-GED model and the GARCH model under the normal distribution and T distribution respectively, The paper checked the anticipated VaR in the previous step by employing failure rate test and back-testing. The result shows that GED distribution is fitted with the fat tail feature of the financial assets. Under different confident levels, the VaR predicated by EGARCHGED is more accurate and has more low level risk to be overestimated or underestimated.

2# yongliluo728 质量一般，国人写的，文章还不咋地。求权威如Nelson的文章