Notice of Retraction Estimation of value at risk for Chinese financial market: ARMA-FIAPARCH-SKST model

Asymmetry and long memory of return and volatility are two important stylized facts in financial market, an effective financial risk management must be consider them. Therefore, this paper uses ARMA (1,1)-FIAPARCH (1,d,1)-SKST to estimate dynamic Value at Risk(VaR), and apply Kupiec's LRT technique to test risk measurement accuracy of different risk model. Our results show that ARMA(1,1)-FIAPARCH(1,d,1)-SKST model is best excellent model which was used in this paper; SKST fit distribution of financial return; Risk Metrics model can not measure risk of finance market accurately.