Forecasting VaR Using Realized GARCH-V-G Model

Modern financial theories are mainly based on the efficient market hypothesis and asset pricing models.In economics,for the classic theories in traditional finance,many scholars have continuously improved and improved on this basis,but they have neglected to study the reality.Investor behavior and its decision-making did not take into account irrational psychological factors.Many abnormal phenomena gradually began to appear in the market,and thus the theory of behavioral finance was born.The mobile finance theory provides two important elements of people's psychology and behavior to the financial research framework,and the disposition effect theory described in this article is to make a reasonable explanation for these financial anomalies.Investors are dominated by irrational psychological factors,resulting in differences in behavior,and the disposal effect is one of them.It mainly wants to describe that investors are more willing to hold loss-making financial assets for a long time,but are eager to sell profitable financial assets,which makes the entire market unpredictable and makes financial risk management difficult.In this paper,on the basis of literature review,the introduction of irrational behavior,explore the interest of financial risk management model,has a lot of research on disposition effect at home and abroad,scholars have focused on disposition effect exists in the market test,to explore the treatment effect in different power degree of market influence,and finally conclusions are proposed according to test results,but few scholars disposition effect should be brought into the volatility models to predict even calculates risk value.This gap,the author of this paper,puts forward the realized GARCH-V-G model,using the high frequency data,the disposal effect,trading volume,and can measure the leverage effect of volatility models,and volatility forecast and risk value of VaR estimates and compare to other volatility models,the conclusion shows that the realized GARCG-V-G model compared with other volatility model in volatility forecasting,risk value measurement has higher accuracy,thus fitting to the real market better,promote the market of financial risk management.Finally,this paper introduces the extension direction and application field of the realized GARCH-V-G model,which lays a foundation for the development of the model.