International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title:	Estimation of the Portfolio’s Value-at-Risk Using Factor APGARCH-M Model
Source:	International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 4144-4146)
Author(s):	Ping WANG, School of Mathematics and Physics, Qingdao Unniversity of Science and Technology,Qingdao, China
Abstract:	Abstract: In this paper, a new VaR (Value-at-Risk) model of portfolios is established: factor APGARCH-M (factor Asymmetric Power GARCH-M), which is based on principal component analysis and the APGARCH-M model. Empirical study using six stock index of Shenzhen stock market shows that factor APGARCH-M model calculates VaR of portfolios easily and accurately.

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