基于极值理论的沪深股市风险传染性研究

Study on the Contagion Effect of Risk in Shanghai and Shenzhen Stock Markets Based on Extreme Value Theory

针对中国股市指数损失具有的典型事实特征,运用ARMA(1,1)-GARCH(1,1)和ARMA(1,1)-GJR(1,1)构造出标准残差序列,再运用EVT对其极值尾部建模并结合随机波动过程估计动态极值风险VaR,然后对股市极值风险序列进行Granger因果检验,以判定风险传染性效应。结果表明,沪深股市动态极值VaR序列存在双向传染性效应;动态风险VaR由沪市向深市传染的强度大于反向传染的强度。

This paper applies ARMA（1,1）-GARCH（1,1） and ARMA（1,1）-GJR（1,1） to constructing standardized residuals series based on the loss series of closed indices of stock markets,uses EVT to model extreme tails of standardized residuals and estimate dynamic extreme VaR based on stochastic volatility model.The paper finally tests contagion effect of dynamic extreme VaR series.Our results show that there exists contagion effect between dynamic extreme VaR of the Chinese Shanghai and Shenzhen stock market and the contagion of dynamic extreme risk is stronger form Shanghai stock market to Shenzhen than the contagion from Shenzhen to Shanghai.