摘要
通过介绍选题背景及国内外文献综述,探讨股票市场风险管理的Va R理论,并对上证综合指数进行了实证分析。实证分析在数据检验的基础上,采用广义误差分布(GED)下的指数广义回归条件异方差(EGARCH)模型对上海证券综合指数日收益率数据进行拟合,计算出对应的Va R值,对结果进行检验和分析,发现该模型很利于股市风险的刻画。
This paper introduced the background information and reviewed related literature at home and abroad. The author investigated Va R—a theory of risk management in the stock market, and then analyzed the Index of Shanghai Stock Exchange. This empirical study was based on data analysis. It applied the data collected through GED and EGARCH model to calculate the yield rate and the Va R values of Shanghai Stock Exchange. The test and analysis on the results proved the feasibility of Va R to predict the risk of the stock market.
出处
《华中师范大学研究生学报》
2015年第1期154-160,共7页
Central China Normal University Journal of Postgraduates
