基于次分数跳跃扩散过程的VaR估计模型OACHSSCD

In order to accurately and reasonably measure financial risks,the paper considers the fractal characteristics of the financial market and the jump changes in financial asset prices to construct a multi-asset VaR estimation model based on sub-fractional jump diffusion process,derives the analytical expression of VaR,and then discusses the properties of VaR in the cases of a single asset and multiple assets following the same jump distribution.Finally,taking three foreign exchange assets in the foreign exchange market from 2018 to 2024 as empirical research objects,the paper tests the rationality and validity of the theoret-ical model.The results show that the constructed model has improved the estimation performance of VaR.The relevant models and results can provide decision-making reference for investors,financial institutions and regulatory authorities.