Using the Improved Hill Estimator Model to Evaluate VaR

doi:10.7523/j.issn.2095-6134.2004.3.003

›› 2004, Vol. 21 ›› Issue (3): 305-309.DOI: 10.7523/j.issn.2095-6134.2004.3.003

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Using the Improved Hill Estimator Model to Evaluate VaR

YE WuYi, MIAO BaiQi

University of Science and Technology of China, Hefei 230026, China

Received:2003-04-03 Revised:2003-06-02 Online:2004-05-10

Abstract

Abstract:

One improved Hill estimator using GLS(general least squares) is introduced, which overcomes some defects of Hill estimator, and is used to evaluate VaR. The VaR of index of Shanghai Composite, Hang seng, Dow Jones, Nasdaq, Nikkei are estimated and compared, and a simple analysis of the result is given.

Key words: Value at Risk, Hill estimator, GLS(general least squares), tail index, order statistics

CLC Number:

F830.9

YE WuYi, MIAO BaiQi. Using the Improved Hill Estimator Model to Evaluate VaR[J]. , 2004, 21(3): 305-309.

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Using the Improved Hill Estimator Model to Evaluate VaR

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