Improving the Estimations of VaR-GARCH Using Genetic Algorithm

2001系统科学与系统工程学报(英文版)Engineering被引 1

摘要

In this paper, genetic algorithm (GA) is put forward to improve the accuracy and robustness of the parameters estimation in GARCH models, and the results are applied to calculate value at risk. The computing examples of Dow Jones Index and exchange rate are presented, and the computation results indicate that VaR-GARCH model based on GA outperformed the conventional numerical method on the aspect of computational robustness and accuracy.

引用本文（GB/T 7714）

Gang Li. Improving the Estimations of VaR-GARCH Using Genetic Algorithm[J]. 系统科学与系统工程学报(英文版), 2001.

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