摘要
针对传统在险价值(value at risk,VaR)模型的局限性,结合Copula技术和GARCH模型,运用t-Copula-GARCH-t模型对中国股票市场进行风险分析,对上证综合指数和深证综合指数进行了实证研究,结果证实了所应用模型和方法的可行性和有效性.
With the limitation of the traditional models of value at risk, combined Copula techniques with GARCH model and applied t-Copula-GARCH-t model are used to analyze the risk of China' s stock market. The empirical study from Shanghai and Shenzhen stock markets indicate that the model applied in this paper is feasi- ble and effective.
出处
《广州大学学报(自然科学版)》
CAS
2012年第5期1-5,共5页
Journal of Guangzhou University:Natural Science Edition