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Mathematical Problems in Engineering
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Mathematical Problems in Engineering
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2014
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Article
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Tab 5
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Research Article
Risk Measure and Early-Warning System of China's Stock Market Based on Price-Earnings Ratio and Price-to-Book Ratio
Table 5
Statistical characteristic and backtesting of different confidence level
-distribution VaR values.
Model
Confidence level
(%)
VaR
Min
VaR
Max
VaR
mean
Theory
failure
Actual
failure
Failure rate
(%)
GARCH(1, 1)-
95
−0.0097
−0.0323
−0.0190
44
34
3.833
GARCH(1, 1)-
99
−0.0161
−0.0536
−0.0094
8
7
0.789