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This paper use the APARCH(1,1) to model the conditional volatility of Small & Medium Enterprise Board stock market, and use normal, student t and skewed student t distribution to model the standardized residual of conditional loss of SMEB, and then compute dynamic value-at-risk, at last, we use Kupiec's LR statistic to test the accuracy of risk measurement model. Our results show that the APARCH(1,1)...
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