分位数回归与上证综指VaR研究

Quantile Regression and the Research of VaR in Shanghai Stock Market

把极端分位数所具有的行为特征应用到VaR的研究中,建立上海股市收益率的条件分位数回归模型,描述其在极端分位数下的变化趋势。同时选取适当的尾部模型,并在此基础之上应用外推法预测非常极端分位数下的条件VaR,并与直接由分位数回归模型预测的结果进行比较。结果表明:两种方法得到的结果变化趋势都是一致的,由外推法预测的结果相对小一些。

By studying the estimation method and asymptotic behaviors of extremal quantiles, we apply its behaviors to the research of VaR. The conditional quantile regression model of return rates of Shanghai stock market is established, which describes the trend of rates under extrernal quantiles. Conditional VaR in very extreme quantiles is predicated by using extrapolation methods under the proper tail model. Comparison with the prediction of the ordinary quantile regression model is also given. The results show that the tendencies of the two predictions are similar and the value estimated by the extrapolation methods is relatively small.