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• W3204647029 abstract "Constructing a more effective value at risk (VaR) prediction model has long been a goal in financial risk management. In this paper, we propose a novel parametric approach and provide a standard paradigm to demonstrate the modeling. We establish a dynamic conditional score (DCS) model based on high-frequency data and a generalized distribution (GD), namely, the GD-DCS model, to improve the forecasts of daily VaR. The model assumes that intraday returns at different moments are independent of each other and obey the same kind of GD, whose dynamic parameters are driven by DCS. By predicting the motion law of the time-varying parameters, the conditional distribution of intraday returns is determined; then, the bootstrap method is used to simulate daily returns. An empirical analysis using data from the Chinese stock market shows that Weibull-Pareto -DCS model incorporating high-frequency data is superior to traditional benchmark models, such as RGARCH, in the prediction of VaR at high risk levels, which proves that this approach contributes to the improvement of risk measurement tools." @default.
• W3204647029 created "2021-10-11" @default.
• W3204647029 creator A5001025785 @default.
• W3204647029 creator A5035466195 @default.
• W3204647029 date "2021-10-07" @default.
• W3204647029 modified "2023-09-27" @default.
• W3204647029 title "A Method for Predicting VaR by Aggregating Generalized Distributions Driven by the Dynamic Conditional Score." @default.
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• W3204647029 hasPublicationYear "2021" @default.
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