中国股市的风险度量研究被引量：2

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摘要本文从沪、深股指收益率的基本统计特征入手,用GARCH-GED模型和核估计模型分别估计了其VaR值,并对模型本身及其估计的VaR进行了较为严格的检验。结论显示:GARCH-GED模型能够反应股市的短期动态特征,而核估计模型估计的VaR反应了股市风险的长期特征,两个模型相互补充。

作者邱小平杨群

机构地区西南财经大学安阳师范学院

出处《统计与决策》 CSSCI 北大核心 2005年第01X期34-36,共3页 Statistics & Decision

关键词 GARCH 中国股市 VAR值股市风险股指收益相互补充风险度量严格结论短期

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统计与决策

2005年第01X期

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