Risk Measurement And Backtesting Of Financial Market Based On E-GAS-AST Model

Concerning financial data's fat-tail,volatility clustering and asymmetry,raise two models:E-GAS-AST model and E-GAS-AST-GPD model,and proceed risk measuring and backtesting with real data.Based on Generalized Autoregressive Score(GAS)model,combining Asymmet-ric Student-T(AST)distribution with heavy tail,raise E-GAS-AST model referring to EGARCH model.Considering describing more of tail features,propose E-GAS-AST-GPD model with Generalized Pareto Distribution(GPD).Afterwards,compute VaR and ES by studying distributions of residuals,and backtesting them separately.Introduce semi-parameter Generalized Autoregressive Conditional Heteroskedasticity(GARCH)model to produce risk measurement and compare with two models proposed.Empir-ical analysis using Dow Jones Index and Shanghai Stock Exchange Composite Index reveals E-GAS-AST model is proper to model financial market and measure risk.