非参数核估计计算VaR在农业板块的实证研究

Empirical Research of Nonparametric Kernel Estimation Calculation VaR in the Agricultural Sector

使用非参数核密度估计方法计算风险价值VaR,由于所用方法不需要进行分布假设,其计算较参数方法更为准确。用此方法对45只农、林、牧、渔类农业上市公司的股票收益率的风险价值VaR进行计算,发现农业上市公司的股票投资风险比普通的股票要高,此结论对于农业投资者、市场管理者以及农业上市公司经营者的决策具有一定参考价值。

Using nonparametric kernel density estimation method to calculate the risk value VaR has more accurate parameters,because the method does not need distribution hypothesis.Using this method to conduct VaR calculation of risk value about 45 stocks of agricultural listed companies concerning farming,forestry,husbandry and fishing,it finds that investment risk of agricultural listed company stock is higher than common stock.This conclusion has a certain reference value for making decisions of agricultural investors,market managers and agricultural listed company’s operators.