JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2017, Vol. 52 ›› Issue (2): 85-90.doi: 10.6040/j.issn.1671-9352.0.2016.033

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Interval estimation of VaR

REN Peng-cheng, XU Jing, LI Xin-min*   

  1. School of Mathematics and Statistics, Qingdao University, Qingdao 266071, Shandong, China
  • Received:2016-01-19 Online:2017-02-20 Published:2017-01-18

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Abstract: Value at risk(VaR)is a tool used for measuring financial risk, which is widely supported and recognized by international finance. To study the interval estimation method in normal population, we used three methods such as Bootstrap、MOVER(method of variance estimates recovery)and Fiducial, and numerically compare the performance of them. The simulation results show that generalized interval estimation based on Ficucial is more robust in coverage and balanced tail error. In the end, the VaR of logarithmic yield of SSE 180 was analyzed.

Key words: VaR, Bootstrap method, MOVER, generalized inference, interval estimation

CLC Number: 

  • O212.1
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