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基于GARCH模型的我国股市风险分析 被引量:1

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摘要 通过对上证指数收盘指数进行实证分析,采用正态分布、t分布和GED分布分别刻画收益率序列特征,运用GARCH模型对收盘指数序列进行波动性建模.根据GARCH模型的估计结果计算出VaR和CVaR值.由结果可知,通过计算GED分布下的GARCH(1,1)模型的CVaR值是衡量股市风险的最佳模型.
出处 《赤峰学院学报(自然科学版)》 2013年第13期40-44,共5页 Journal of Chifeng University(Natural Science Edition)
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同被引文献9

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  • 8孙映宏,曹显兵.基于GARCH模型的中美汇率实证分析[J].数学的实践与认识,2012,42(20):223-228. 被引量:12
  • 9魏红燕,孟纯军.基于GARCH模型的短期汇率预测[J].经济数学,2014,31(1):81-84. 被引量:21

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