基于TGARCH模型对中国石油股票收益率的风险度量实证分析

Empirical Analysis on CNPC Stock Risk Measurement of Returns Ratio Based on TGARCH Model

为了更好的反映中国石油股票序列波动的非对称性和波动聚集等特征,本文利用门限广义自回归条件异方差(TGARCH)模型对中国石油收益率序列波动规律性进行刻画。根据Eviews 6.0操作的结果进行数据的基本分析、根据TGARCH模型参数估计计算出VaR值,合理地描述了股票的风险以及股票的波动性,与实际的情况非常符合,具有一定的实际指导意义。

In order to reflect better the asymmetry and volatility clustering feature of CNPC stock, this article carrys on the volatility regularity returns ratio of CNPC stock based on TGARCH model. According to the results and basic analysis of Eviews 6.0, this article calculates VaR value according to the parameter esti- mation of TGARCH model, and describes the stock risk as well as the volatility reasonably, which is accorded with the actual situation and proves to be of practical help.