基于EGARCH模型下的沪深300指数风险研究

Risk Research of Shanghai and Shenzhen 300 Index Based on EGARCH Model

本文在对沪深300指数基于服从正分布、学生t分布、有偏学生t分布、GED分布的假设,建立EGARCH模型对收益率波动性的杠杆效应进行建模,采用VaR模型进行回溯测试,研究表明,基于GED分布下的波动模型明显优于EGARCH在其他分布下的模型。

In this paper,based on the assumption that the Shanghai and Shenzhen 300 Index is based on pos-itive distribution,student t distribution,biased student t distribution,and GED distribution,the EGARCH model is used to model the leverage effect of yield volatility,and the VaR model is used for backtesting.It is shown that the volatility model based on the GED distribution is significantly better than the EGARCH model under other distributions.