GPD Estimation Based on POME and Risk Measure in Stock Market
Pan Qing-nian · Tongji yu xinxi luntan · 2010
The POT Extreme model parameters accurate estimation is the key to calculate market risk of the financial property returns.Getting the set of equations to estimate GPD parameters in POT model based on POME principle and choosing the threshold by the determine coefficients of regress model,finally,using it to the empirical study of risk measure in stock market of two periods.The results show that 0.017 989、0.018 01 is the best threshold of two periods.The estimation of γ、ξ、β are 18.534 67、0.148 71 and 0.008 02;2.931 72、0.036 49和0.012 58 differently and get VaR and ES in different significance level.The study provide a more scientific and effective method for the parameters estimation of GPD and a new idea for calculating market risk of return on financial assets,also measure of this international financial crisis on China's stock market risks.