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| EGARCH-GED模型在计量中国期货市场风险价值中的应用 | |
| 引用本文： | 刘庆富,仲伟俊,华仁海,刘晓星.EGARCH-GED模型在计量中国期货市场风险价值中的应用[J].管理工程学报,2007,21(1):117-121. |
| 作者姓名： | 刘庆富 仲伟俊 华仁海 刘晓星 |
| 作者单位： | 1. 东南大学经济管理学院,江苏,南京,210096 2. 南京财经大学金融学院,江苏,南京,210003 3. 广东商学院金融系,广东,广州,510320 |
| 摘 要： | 根据我国期货市场收益的基本特性,本文从收益的波动性与概率分布出发,建立了能准确度量时变风险价值的EGARCH-GED模型,并与基于正态分布和t分布GARCH模型的风险价值计算效果进行了比较.结果表明,基于EGARCH-GED模型的风险价值能更好地刻画我国期货市场的市场风险.另外,对我国期货市场各交易品种的风险趋势进行了比较和解析. |
| 关 键 词： | EGARCH 广义误差分布 风险价值 后验测试 |
| 文章编号： | 1004-6062(2007)01-0117-05 |
| 修稿时间： | 2004年9月24日 |
Application of EGARCH-GED Model for Calculating Value at Risk in Chinese Futures Market |
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| LIU Qing-fu,ZHONG Wei-jun,HUA Ren-hai,LIU Xiao-xing.Application of EGARCH-GED Model for Calculating Value at Risk in Chinese Futures Market[J].Journal of Industrial Engineering and Engineering Management,2007,21(1):117-121. | |
| Authors: | LIU Qing-fu ZHONG Wei-jun HUA Ren-hai LIU Xiao-xing |
| Abstract: | According to the basic characteristics of returns in Chinese futures market,the EGARCH-GED model for calculating value at risk based on volatility and probability distribution is developed and is compared with the GARCH models based on normal distribution and t-distribution.The results show that the EGARCHGED model for calculating value at risk is the most method to describe the market risk in Chinese futures market.In addition,the market risk trend of the returns are analyzed and compared in detail. |
| Keywords: | EGARCH general error distribution value at risk backtesting |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |