摘要
提出了基于EGARCH-VaR的半参数方法,根据EGARCH模型参数估计得到VaR值,计算出溢出率。再根据正态分布和t分布假设下的GARCH模型参数估计得到VaR值以及溢出率。将GARCH模型的VaR值与EGARCH-VaR模型进行比较,结果表明,基于EGARCH-VaR的半参数方法对风险价值的测度优于正态分布和t分布假设下的VaR计量方法。
A semi-parametric approach based on EGARCH model is put forward,that is,according to the VaR value based on EGARCH model parameter estimation,we can calculate the overflow rate.Then we get the overflow rate according to the GARCH model parameter estimation which is in the conditions of normal and t distribution.The two overflow rates are compared,and the results show that EGARCH-VaR model method is better than that of GARCH model.
出处
《长春工业大学学报》
CAS
2010年第5期491-495,共5页
Journal of Changchun University of Technology
基金
国家自然科学基金资助项目(11071026)
长春工业大学校内基金资助项目(长工大科合字第2008A23号)
关键词
EGARCH
VAR
半参数
溢出率
Exponent Generalized Autoregressive Conditional Heteroscedasticity（EGARCH） model
Value at Risk（VaR）
semi-parameter
overflow rate
