It also showed that incorporating a GARCH model for the conditional heteroscedasticity can adequately model the fat tail and heteroscedastical volatility of financial assets.

• 实证上应用极值理论在高信赖水准之下单一资产的风险值估计，获得准确结果，在纳入GARCH模型更充分捕捉资产报酬厚尾与条件异质波动。