Journal of Guangxi Normal University(Natural Science Edition) ›› 2020, Vol. 38 ›› Issue (5): 56-63.doi: 10.16088/j.issn.1001-6600.2020.05.007

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Research on Risk Measurement of 5G Plate Based on Skew-t-GJRGARCH(1,1) Model

LI Shijun, TANG Guoqiang*, DU Shixue   

  1. School of Science, Guilin University of Technology, Guilin Guangxi 541006, China
  • Received:2019-04-19 Online:2020-09-25 Published:2020-10-09

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Abstract: In this paper, the research on the risk measurement of the 5G plate is carried out. The results show that the logarithm of the yield series has a bias, a sharp peak, a non-normal feature, and an ARCH effect. The GJRGARCH(1,1) model with different distributions is fitted. It is found that there is no leverage effect in the 5G plate; the VaR calculation is performed under different distributions using the GJRGARCH(1,1) model, and the GJRGARCH(1,1) model based on the skew-t distribution can be better measured by the Kupiec test.

Key words: GJRGARCH, 5G plate, skew-t, VaR, risk measurement-t

CLC Number: 

  • O213
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