“杠杆效应”对计算沪市在险价值的影响

The Impact of "Leverage Effect"on the Calculation of Value at Risk in Shanghai Stock Market

通过比较GARCH-t、TGARCH-t和EGARCH-t模型计算沪市在险价值(VaR)的效果,研究"杠杆效应"对沪市在险价值的影响。结果表明,当置信水平为95%和99%时,EGARCH-t模型计算VaR值结果比较准确、精度较高,GARCH-t和TGARCH-t模型均高估了市场风险。

Take shanghai stock index for example, by comparing the accuracy of the GARCH-t, TGARCH-t and EGARCH-t model in calculation of VaR in Shanghai stock, the results show that, at the confidence level of 95% and 99%, EGARCH-t model was more accurate and with higher precision for the calculation of VaR, while GARCH-t and TGARCH- t models are all over-estimate the risk.