摘要
度量金融风险的 Va R方法在国际上被广泛地应用于度量各种金融工具的风险 ,本文讨论了估计 Va R的 EWMA方法 ,即指数加权移动平均法。并以我国股票市场为例 ,从实际数据出发分别计算了深沪两市的衰减因子的最优取值 ,并在此基础上计算了上海股票综合指数和深圳股票综合指数的每日风险值 ,对在大盘上考虑股市风险和指导投资具有重要意义。
VaR methodology for measuring financial risk has been applied widely in various financial instruments. In this paper,the exponentially weighted moving average(EWMA) method for estimate VaR is discussed, and the daily VaRs of Shanghai and Shenzhen stock markets are calculated on the basis of solving the optimal decay factors. It will provide great help for the investor to make decision.
出处
《预测》
CSSCI
2001年第3期34-37,59,共5页
Forecasting
