VaR Model Measure Exchange Rate Risk Based on GARCH Approach and EVT Theory

DOI

10.2991/iccessh-17.2017.186How to use a DOI?

Keywords

VaR; GARCH; EVT; Exchange rate; Market Risk Measurement

Abstract

In recent years, financial disasters have emphasized the importance of effective risk management for financial regulators and market practitioners who have become particularly sensitive to changes in the assets value. The use of quantitative risk measures has become an essential management tool to be placed in parallel with the models of returns. In this paper, we introduce all kinds of GARCH models and EVT theory and apply those method to measure exchange rate risk of Chinese exchange market. Firstly, we examine the the heteroscedasticity of the return series of USD/RMB and EUR/RMB data, the results suggest that there is obvious heteroscedasticity. Secondly, we choose the best GARCH model to filter the return series to i.i.d residual series and employ extreme value theory to estimate the tails of those i.i.d series, we find the degree of fitting of GPD is very high. Finally, we calculate corresponding VaR estimates, which can help investor to measure exchange risk accurately.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jie Yang
AU  - Shaozong Zhang
PY  - 2017/06
DA  - 2017/06
TI  - VaR Model Measure Exchange Rate Risk Based on GARCH Approach and EVT Theory
BT  - Proceedings of the 2nd International Conference on Contemporary Education, Social Sciences and Humanities (ICCESSH 2017)
PB  - Atlantis Press
SP  - 781
EP  - 785
SN  - 2352-5398
UR  - https://doi.org/10.2991/iccessh-17.2017.186
DO  - 10.2991/iccessh-17.2017.186
ID  - Yang2017/06
ER  -