摘要
本文使用GARCH-VAR模型分别在正态分布、t分布和GED分布的情况下研究比较创业板和主板的波动特征及市场风险,结果表明GARCH模型在t分布和GED分布能够更有效的反映收益率的尖峰厚尾特征,正态分布和GED分布下的在险价值度量相对可靠。综合起来考虑,使用GED分布来刻画创业板市场的收益率特征及在险价值效果最好。所有检验结果均表明创业板比主板具有更大的风险,同时也具有更高的回报率。
This paper aims to measure and compare the market volatility and risks between Chinese growth enterprise market and main board market under three different distributions based on GARCH model.The results illustrate that,t-distribution and GED distribution are the most efficient patterns to depict the characteristics of volatility.The results also show that VaRs under normal and GED distributions are more reliable than t-distribution,moreover,all of the tests proved that the risk of the growth enterprise market is far more than that of the main board market,and at the same time has a higher rate of return.
作者
赵鹏举
海洋
殷燕
ZHAO Peng-ju;HAI Yang;YIN Yan(College of Management and Economics,Tianjin University,Tianjin 300072,China;Financial Engineering Research Center,Zhongyuan University of Technology,Zhengzhou 450007,China;Brunel University,Brunel UB83QN,UK)
出处
《价值工程》
2019年第25期5-9,共5页
Value Engineering
基金
河南省软科学项目“科技金融结合模式研究”的资助,项目号182400410148
