摘要
本文运用ARMA-GARCH-M计量经济学模型,以及国际上通行的风险评价指标VAR,通过计算沪深两市的VAR值,比较两市的整体投资风险,以及各自的风险特点,并对模型的有效性进行了Kupiec检验,为投资者控制市场风险提供参考.
In this paper we use the ARMA-GARCH-M econometric model to calculate the value of VAR, Then we compare the risk between the shanghai and shen zheng stock market. The result are： （1）The risk in Shenzheng stock market is larger than shanghai stock market. （2）The ARMA--GARCH--M model is valid to chinese stock market both in Shanghai and Shenzheng stock market.
出处
《数学理论与应用》
2007年第2期15-18,共4页
Mathematical Theory and Applications
