Risk measurement of internet finance index based on QR-MS(2)-EGARCH(1,1)-st model
Based on the daily closing price data of the internet finance index from 2012 to 2021,the two-zone MS-GARCH(1,1)model is firstly used to describe the fluctuation process of the internet finance index,and the optimal model MS(2)-EGARCH(1,1)-st is selected through analysis.The results show that the return rate of the internet finance index has two clearly divided states:the mild fluctuation state is more persistent than the shape fluctuation state,and the shape fluctuation state has asymmetric effects.Secondly,the combined model of MS-EGARCH model and quantile regression(QR)model are used to measure the risk of internet finance return series,and the success rate is calculated by Kupiec backtracking test method.The results show that the success rate of value at risk(VaR)obtained by QR-MS(2)-EGARCH(1,1)-st is higher.
国家科技期刊平台
NSTL
万方数据
