Research of Liquidity Adjusted VaR and ES in China Stock Market Based on Copula-EVT Model
Xiaoxing Liu, Guihua Qiu · 2010
Using both dependence structure function of Copula and EVT(extreme value theory),this paper constructed a La-Copula-EVT model in china stock market,and also analyzed the return serials based on the sub-T high-frequency data in both Shanghai and Shenzhen stock markets.And found that there exists high relevance between Shanghai and Shenzhen stock markets for both upper tail and lower tail.The result of the back-testing showed that the model could fit the actual loss very well.Then,this paper analyzed the sensitivity difference at different confidence levels for VaR and ES,and found the optimal confidence level for La-Copula-EVT model.