Estimation of the Portfolio's Value-at-Risk Using Factor APGARCH-M Model

In this paper, a new VaR (Value-at-Risk) model of portfolios is established: factor APGARCH-M (factor Asymmetric Power GARCH-M), which is based on principal component analysis and the APGARCH-M model. Empirical study using six stock index of Shenzhen stock market shows that factor APGARCH-M model calculates VaR of portfolios easily and accurately.