RiskMetrics Model Based on Different Distribtuion
Zhenhong Wei, GF Securities · Shuxue de shijian yu renshi · 2009
RiskMetrics is the most popular risk management model.But one of its basic assumptions,the standardized return following normal distribution,is in discussion.In this paper,the standard RiskMetrics model is expanded.The normal distribution is replaced by some more flexible distributions such as t,generalized error distribution,mixed normal,Johnson Su-normal and Pearson IV distribution.Our empirical comparison using stock daily return of china shows,the expanded models perform better than the standard,and the expanded models based on asymmetric distribution perform better than that based on symmetric distribution.