This paper compares the models in Predicting the VaR of stock price indexes in China. Our results indicate that the normal model usually underestimate the VaR when given probability is 0 01 or 0 02,and the weighted no...This paper compares the models in Predicting the VaR of stock price indexes in China. Our results indicate that the normal model usually underestimate the VaR when given probability is 0 01 or 0 02,and the weighted normal model usually overestimate the VaR when given probability is 0 04 or 0 05. The historical simulating model and Logistic distribution model are superior to normal model and to weighted nomal model in predicting the VaR.展开更多
文摘This paper compares the models in Predicting the VaR of stock price indexes in China. Our results indicate that the normal model usually underestimate the VaR when given probability is 0 01 or 0 02,and the weighted normal model usually overestimate the VaR when given probability is 0 04 or 0 05. The historical simulating model and Logistic distribution model are superior to normal model and to weighted nomal model in predicting the VaR.
