Chinese Journal of Management Science ›› 2023, Vol. 31 ›› Issue (8): 1-8.doi: 10.16381/j.cnki.issn1003-207x.2020.0981
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Jiang-tao WANG(),Ya CAI,Cheng-li ZHENG
Received:
2020-05-27
Revised:
2022-11-10
Online:
2023-08-15
Published:
2023-08-24
Contact:
Jiang-tao WANG
E-mail:1983@163.com
CLC Number:
Jiang-tao WANG,Ya CAI,Cheng-li ZHENG. An Adaptive Algorithm for Prediction of Risk and Its Application[J]. Chinese Journal of Management Science, 2023, 31(8): 1-8.
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模型 | 失败率 | 吻合距离 | LR检验 P值 | DQ检验P值 | |
---|---|---|---|---|---|
0.01 | K-Q CAViaR | 0.0127 | 0.0027 | 0.356 | 0.2881 |
0.0164 | 0.0064 | 0.1937 | 0.6954 | ||
0.02 | K-Q CAViaR | 0.0249 | 0.0049 | 0.4794 | 0.5290 |
0.0271 | 0.0071 | 0.3083 | 0.4730 | ||
0.04 | K-Q CAViaR | 0.0430 | 0.0030 | 0.7515 | 0.1485 |
0.0407 | 0.0007 | 0.9383 | 0.0757 | ||
0.05 | K-Q CAViaR | 0.0475 | 0.0025 | 0.8088 | 0.3758 |
0.0520 | 0.0020 | 0.8453 | 0.4672 | ||
0.06 | K-Q CAViaR | 0.0633 | 0.0033 | 0.7688 | 0.9865 |
0.0566 | 0.0034 | 0.7587 | 0.9691 | ||
0.08 | K-Q CAViaR | 0.0724 | 0.0076 | 0.5499 | 0.7312 |
0.1041 | 0.0241 | 0.0735 | 0.0789 | ||
0.10 | K-Q CAViaR | 0.0837 | 0.0163 | 0.2415 | 0.7116 |
0.0882 | 0.0118 | 0.4011 | 0.9133 |
"
模型 | 失败率 | 吻合距离 | LR检验P值 | DQ检验P值 | |
---|---|---|---|---|---|
0.01 | K-Q CAViaR | 0.0123 | 0.0023 | 0.6195 | 0.9841 |
0.0164 | 0.0064 | 0.1920 | 0.0263 | ||
0.02 | K-Q CAViaR | 0.0205 | 0.0005 | 0.9332 | 0.5501 |
0.0225 | 0.0025 | 0.6894 | 0.5864 | ||
0.04 | K-Q CAViaR | 0.0411 | 0.0011 | 0.9047 | 0.1240 |
0.0492 | 0.0093 | 0.3126 | 0.1513 | ||
0.05 | K-Q CAViaR | 0.0452 | 0.0048 | 0.6196 | 0.8204 |
0.0575 | 0.0075 | 0.4581 | 0.1963 | ||
0.06 | K-Q CAViaR | 0.0566 | 0.0034 | 0.7587 | 0.9691 |
0.0633 | 0.0033 | 0.7688 | 0.9865 | ||
0.08 | K-Q CAViaR | 0.0780 | 0.0020 | 0.8721 | 0.6458 |
0.0903 | 0.0103 | 0.4087 | 0.0047 | ||
0.10 | K-Q CAViaR | 0.0882 | 0.0118 | 0.4011 | 0.8339 |
0.0860 | 0.0140 | 0.3150 | 0.9005 |
"
模型 | 失败率 | 吻合距离 | LR检验P值 | DQ检验P值 | |
---|---|---|---|---|---|
0.01 | K-Q CAViaR | 0.0113 | 0.0013 | 0.7860 | 0.9963 |
0.0164 | 0.0064 | 0.1920 | 0.0262 | ||
0.02 | K-Q CAViaR | 0.0226 | 0.0026 | 0.6894 | 0.5864 |
0.0205 | 0.0005 | 0.9332 | 0.5501 | ||
0.04 | K-Q CAViaR | 0.0370 | 0.0030 | 0.7289 | 0.0663 |
0.0349 | 0.0051 | 0.5580 | 0.0413 | ||
0.05 | K-Q CAViaR | 0.0475 | 0.0025 | 0.8088 | 0.3758 |
0.0520 | 0.0020 | 0.8453 | 0.4672 | ||
0.06 | K-Q CAViaR | 0.0595 | 0.0005 | 0.9665 | 0.5626 |
0.0595 | 0.0005 | 0.9665 | 0.9925 | ||
0.08 | K-Q CAViaR | 0.0678 | 0.0122 | 0.3076 | 0.8210 |
0.1027 | 0.0227 | 0.0763 | 0.0001 | ||
0.10 | K-Q CAViaR | 0.0903 | 0.0097 | 0.4712 | 0.8316 |
0.0883 | 0.0117 | 0.3806 | 0.8429 |
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