Value - at - Risk Analysis of Shanghai Stock Market with Mixed Models
讨论了不同的风险价值预测模型，提出了OGARCH与EVT的混合模型，实证表明混合模型优于其他模型，有助于降低风险管理成本。
After discussing different forecast models -of the Value-at-Risk (VaR) , the paper proposes some mixed models of OGARCH and EVT models. The empirical studies show that the mixed models have better per- formance than other models in this paper. And the mixed models are very important for reducing risk manage- ment costs.