上证综指收益波动性及VaR度量研究被引量：10

The Volatility and VaR of Shanghai Stock Exchange Index Daily Return

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摘要基于对上证综指日回报序列分布分别作正态分布、t分布和广义误差分布(GED)的假设基础上,采用(E)GARCH模型和方差-协方差法,度量了上海股票市场的潜在风险和波动性。在验证了三个模型对VaR估计的有效性之后,得出AR(1)-EGARCH(1,1)-M-GED模型对上海股票市场的拟合最优,并得出了有效的VaR估值。

作者胡援成姜光明

机构地区江西财经大学金融学院

出处《当代财经》 CSSCI 北大核心 2004年第6期34-38,共5页 Contemporary Finance and Economics

基金国家自然科学基金资助项目(70262001)

关键词上证指数波动性 GARCH模型 VAR

分类号 F830.91 [经济管理—金融学]

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