基于EVT-BM-FIGARCH的动态VaR风险测度

对金融资产回报,用FIGARCH模型捕捉波动的异方差性和长期记忆性的同时,将回报序列转化为标准残差序列、通过用EVT-BM方法拟合标准残差的尾部分布来处理回报序列的厚尾性,建立了金融风险度量模型--基于EVT-BM-FIGARCH的动态VaR模型。并用该模型对上证综合指数进行实证分析,结果表明模型能够更精确、合理地度量上证综合指数回报的VaR风险。

Dynamic VaR Risk Measures Based on EVT-BM-FIGARCH

This article uses FIGARCH model to handle the heteroscedasticity and long memory behavior in return's volatility.At the same time,it transfers return series into standard residuals and uses EVT-BM method to capture the fat tails of standard residuals.Thus it deals with return's fat-tails trait in this way.Then,the paper constructs a dynamic VaR risk measure based on EVT-BM-FIGARCH and applies it to daily returns of composite index of Shanghai stock market.The empirical analysis indicates that the risk measu...