基于EVT的EGARCH-M模型在动态VaR中的应用

Application of EGARCH-M model based on EVT in dynamic VaR

综合考虑金融资产收益数据分布的波动集群性和厚尾的特征,尤其是波动的条件异方差对动态VaR估计的影响,运用极值理论建立EGARCH-M-GEV动态风险度量模型,并通过上证指数对其进行实证分析,为管理者和投资者提供了一个控制风险、预测收益的量化工具,为风险防范提供了参考.

Considering both the characteristics of clustering volatility and fat-tail of the data distribution of returns on financial assets,especially considering the impact of conditional heteroscedaticity on the estimate for dynamic VaR,an EGARCH-M model is developed with extreme value theory to give an empirical analysis on the dynamic VaR（value at risk） of SSI（Shanghai stock index）.The model provides the managers and investors with quantitatively useful means for earnings forecasting and risk control.