摘要
股价波动方式为布朗运动,对布朗运动做欧拉离散化模拟。采用蒙特卡洛方法进行上证指数的VaR分析,最后进行Kupiec回溯检验,发现与传统的正态分布假设及ARCH模型结果相比,基于布朗运动做欧拉离散化处理并采用蒙特卡洛方法进行模拟的VaR的效果更好,可以为股票市场的风险分析提供较为可靠的依据。
Assuming the stock price fluctuation as Brownian motion, and the Brownian motion is simulated by Euler discretization. Using the Monte Carlo method,analyzing the VaRof the Shanghai Composite Index,finally,the Kupiec retrospective test is carried out.lt is found that the Euler Discretization based on the Brownian motion and the Monte Carlo method is better in simulating VaR compared with the traditional normal distribution hypothesis and the results of the ARCHmodel.lt can provide a more reliable basis for the risk analysis of the stock market.
作者
谢水园
XIE Shui-yuan(School of Business, Shenyang University of Technology, 111003,Liaoyang, Liaoning, China)
出处
《特区经济》
2017年第5期110-112,共3页
Special Zone Economy
基金
辽宁省教育厅项目"我国上市公司融资偏好研究"(WGD2016023)
