摘要
介绍了 Va R的含义及计算方法。说明了从持续性角度来讨论 Va R的意义和理论依据 ,指出对 σt的建模是研究 Va R持续性的可行途径。将 TSGARCH模型扩展为 FITSGARCH模型 ,并结合该模型 ,从脉冲响应函数角度定义了 σt的持续性。最后 ,利用中国深沪股市数据给出实证研究。
The paper reviews the meaning and calculating method of Value at Risk firstly. We demonstrate that it is significant and feasible to analyze the volatility persistence of VaR and to discuss the persistence of VaR by modeling σ t . Then the paper extends the TSGARCH model into FITSGARCH model, and defines the persistence of σ t using the impulse response function. In the end, we give modeling results using Chinese stock market data.
出处
《系统工程理论方法应用》
2002年第4期270-274,共5页
Systems Engineering Theory·Methodology·Applications
基金
国家自然科学基金资助项目 ( 70 1710 0 1)
