摘要
根据我国期货市场收益的基本特性,本文从收益的波动性与概率分布出发,建立了能准确度量时变风险价值的EGARCH-GED模型,并与基于正态分布和t分布GARCH模型的风险价值计算效果进行了比较。结果表明,基于EGARCH-GED模型的风险价值能更好地刻画我国期货市场的市场风险。另外,对我国期货市场各交易品种的风险趋势进行了比较和解析。
According to the basic characteristics of returns in Chinese futures market, the EGARCH-GED model for calculating value at risk based on volatility and probability distribution is developed and is compared with the GARCH models based on normal distribution and t- distribution. The results show that the EGARCH-GED model for calculating value at risk is the most method to describe the market risk in Chinese futures market. In addition, the market risk trend of the returns are analyzed and compared in detail.
出处
《管理工程学报》
CSSCI
2007年第1期117-121,共5页
Journal of Industrial Engineering and Engineering Management
基金
国家自然科学基金资助项目(70573044)