基于收益波动性和厚尾性的条件风险价值探究——来自沪深300指数的验证

Research on Conditional Value at Risk Based on Return Volatility and Heavy Tail——Evidence from CSI 300 index

金融风险的度量是进行金融风险管理的有效途径.基于股票收益的波动性和分布厚尾性两大特征,选取了自2002年1月到2015年1月沪深300指数的每日收盘价,利用指数GARCH模型和极值理论对条件风险价值进行量化探究.分析结果显示,我国股市收益率具有长期波动性,且集群性较强,投机现象比较严重;收益率的波动有一定的持久性,当前信息对于未来风险的预测有一定作用;从收益的动态波动性和静态厚尾性两个角度来对条件风险价值进行探究,更具有全面性和预测性.

Measurement of financial risk is an effective way of financial risk management.Based on volatility of stock returns and heavy tail of distribution, the research selects daily closing price of CSI 300 index from January 2002 to January 2015, and use EGARCH model and Extreme value theory to explore the conditional value at risk. The results show that there is long-term volatility, strong clustering, and serious speculation in stock returns. There is a certain volatility persistence of stock returns, and current information is helpful to forecast future risk. Exploring the conditional value at risk from volatility and heavy tail these two perspectives, is more comprehensive and predictive.