Kalman滤波在证券投资组合VaR计量中的应用

Application of Kalman Filter in the Estimation of Value at Risk(VaR)of a Security Portfolio

在分析"Kalman滤波"方法和VaR方法各自特征的基础上,构建一个估计投资组合VaR数值的状态空间模型,再用采集的3支股票的市场数据对该模型进行实证分析,计算出该投资组合的VaR数值.

After analyzing Kalman filter and Value at Risk （VaR）, a method that estimates the VaR of a security portfolio with the principle of Kalman filter is developed. The method is proved efficacious by the empirical study in this paper.