基于GARCHSK的铜期货VaR估计方法研究被引量：1

Study on the Estimation of VaR of Copper Futures Based on GARCHSK Model

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摘要基于GARCHSK模型对期货收益序列的条件偏度和峰度进行动态建模,提出了"有偏"和"尖峰厚尾"分布下的VaR估计方法。通过对沪铜期货的实证研究表明,其收益分布存在明显的"有偏"和"尖峰厚尾"。基于不同分布假定下的VaR估计结果的Kup iec检验表明,基于GARCHSK的VaR估计方法能够有效提高VaR的估计精度。 This paper has estimated the conditional skewness and kurtosis using the GARCHSK model and then proposed an estimation method of VaR based on skewed and fat tailed distribution. The empirical results from Shanghai copper futures data suggest that the conditional skewness and kurtosis are time varying significantly. And the estimation method based on GARCHSK model can make the VaR estimation more accurate after considering the impacts of conditional skewness and kurtosis.

作者梁春早

机构地区天津大学管理学院

出处《北京航空航天大学学报（社会科学版）》 CSSCI 2010年第1期81-83,共3页 Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition

关键词 VAR GARCHSK模型条件偏度和峰度 Kupiec检验 VaR GARCHSK model conditional skewness and kurtosis Kupiec test

分类号 F830.9 [经济管理—金融学]

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参考文献5

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