A platform for research: civil engineering, architecture and urbanism
A platform for research: civil engineering, architecture and urbanism
Jump Aggregation, Volatility Prediction, and Nonlinear Estimation of Banks’ Sustainability Risk
Extreme financial events usually lead to sharp jumps in stock prices and volatilities. In addition, jump clustering and stock price correlations contribute to the risk amplification acceleration mechanism during the crisis. In this paper, four Jump-GARCH models are used to forecast the jump diffusion volatility, which is used as the risk factor. The linear and asymmetric nonlinear effects are considered, and the value at risk of banks is estimated by support vector quantile regression. There are three main findings. First, in terms of the volatility process of bank stock price, the Jump Diffusion GARCH model is better than the Continuous Diffusion GARCH model, and the discrete jump volatility is significant. Secondly, due to the difference of the sensitivity of abnormal information shock, the jump behavior of bank stock price is heterogeneous. Moreover, CJ-GARCH models are suitable for most banks, while ARJI-R2-GARCH models are more suitable for small and medium sized banks. Thirdly, based on the jump diffusion volatility information, the performance of the support vector quantile regression is better than that of the parametric quantile regression and nonparametric quantile regression.
Jump Aggregation, Volatility Prediction, and Nonlinear Estimation of Banks’ Sustainability Risk
Extreme financial events usually lead to sharp jumps in stock prices and volatilities. In addition, jump clustering and stock price correlations contribute to the risk amplification acceleration mechanism during the crisis. In this paper, four Jump-GARCH models are used to forecast the jump diffusion volatility, which is used as the risk factor. The linear and asymmetric nonlinear effects are considered, and the value at risk of banks is estimated by support vector quantile regression. There are three main findings. First, in terms of the volatility process of bank stock price, the Jump Diffusion GARCH model is better than the Continuous Diffusion GARCH model, and the discrete jump volatility is significant. Secondly, due to the difference of the sensitivity of abnormal information shock, the jump behavior of bank stock price is heterogeneous. Moreover, CJ-GARCH models are suitable for most banks, while ARJI-R2-GARCH models are more suitable for small and medium sized banks. Thirdly, based on the jump diffusion volatility information, the performance of the support vector quantile regression is better than that of the parametric quantile regression and nonparametric quantile regression.
Jump Aggregation, Volatility Prediction, and Nonlinear Estimation of Banks’ Sustainability Risk
Zhouwei Wang (author) / Qicheng Zhao (author) / Min Zhu (author) / Tao Pang (author)
2020
Article (Journal)
Electronic Resource
Unknown
Metadata by DOAJ is licensed under CC BY-SA 1.0
Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach
| DOAJ | 2019
Do Sustainability Activities Affect the Financial Performance of Banks? The Case of Indonesian Banks
| DOAJ | 2023
Extended Risk Analysis in Prediction of Local Scour Downstream of Ski-jump Spillway
| British Library Conference Proceedings | 1992
Corporate Sustainability in Bangladeshi Banks: Proactive or Reactive Ethical Behavior?
| DOAJ | 2020