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This article proposed a stochastic volatility model with T-distribution leveraged (ASV-T model), the model can be used to reflect the leverage effect and the fat-tail effect exist in stock market. Through the statistics analysis of the model, it is proved that the model is workable and is best for the fitting of historical data. With empirical research on Chinese GEM index, it is further proved that...
In this paper, we choose consecutive month contract of natural rubber in China futures market for the study. Based on the GARCH class model, we combine the wavelet analysis with extreme value theory to get the approximate distribution of time series and then use rolling time window to predict dynamic value at risk. The empirical results show that the models all have good predictive ability, and the...
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