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Dynamic Risk Measure for China’s Short-Term International Capital Flows
Hui Ma, Yan Zheng
132 - 141
10.3233/FAIA230177
Research Article
Frontiers in Artificial Intelligence and Applications
Volume 370: Modern Management Based on Big Data IV
Abstract

This paper adopts the value-at-risk (VaR) method as the risk measurement framework, and establishes a series of VaR-GARCH models to measure the dynamic risk of short-term international capital random fluctuations. Then, the accuracy of the empirical results is measured by the Backing-Test. The results show that the measurements of VaR-GARCH(1,1) and VaR-GARCH-M models are relatively conservative; the measurement results of VaR-EGARCH model are closest to the true value of short-term international capital flows.

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