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我国中小板市场在险价值量的实证研究——基于GARCH-VaR模型 被引量：6

Empirical Study on Value at Risk of China' s Small and Medium Enterprises Board Based on GARCH-VaR model
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摘要 GARCH类模型能够比较好的描述股市收益率的动态变化特征,捕捉股市的集丛效应和非对称性,基于GARCH模型计算VaR已经成为金融市场风险管理的一种主流方法。基于不同分布假设,以常用的4种GARCH类模型来拟合我国中小板综合指数收益率,分别估计不同模型下的VaR值,综合分析最后得出了t分布假设下的GARCH模型能比较好的反映我国中小板的市场风险的结论。 GARCH model can well describe the dynamic characteristics of the yield of stock market, capture its series effect and non-symmetry. The method of calculation of VaR based on GARCH model has wildly used in the field of financial market risk management. This article based on different distribution, we use 4 kinds of GARCH models to fit the yield of the Com- posite Index of China＇s SME board then estimate VaR respectively. After a comprehensive analysis we conclude that the GARCH model under t distribution well reflects the market risk of China＇ s SME board.
作者 周爱民 陈远
机构地区 南开大学经济学院金融系
出处 《南开大学学报（自然科学版）》 CAS CSCD 北大核心 2013年第3期56-63,共8页 Acta Scientiarum Naturalium Universitatis Nankaiensis
关键词 中小板 VAR GARCH模型 small and medium enterprises board value at risk GARCH model
分类号 F832.5 [经济管理—金融学]
  • 相关文献

参考文献21

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二级参考文献45

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共引文献341

同被引文献30

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引证文献6

二级引证文献7

南开大学学报（自然科学版）
2013年 第3期

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