| 基于g-h分布的极值风险度量研究 |
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| 引用本文： | 周孝华,张保帅,冯梦雨. 基于g-h分布的极值风险度量研究[J]. 统计与信息论坛, 2012, 27(7): 23-27 |
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| 作者姓名： | 周孝华 张保帅 冯梦雨 |
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| 作者单位： | 1. 重庆大学经济与工商管理学院,重庆,400030
2. 中国人民银行延安市中心支行,陕西延安,716000 |
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| 基金项目： | 中央高校基本科研业务费资助项目《基于Copula理论的地方投融资平台风险研究》，重庆市自然科学基金项目《基于G-H分布和Copula函数的金融市场风险度量模型及算法研究》 |
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| 摘 要： | 依据ARMA-GJR模型构造标准残差序列,利用EVT模型拟合标准残差序列的尾部特征,进而确定样本阀值,最后结合g-h分布建立一种新的金融风险度量模型———基于ARMA-GJR-EVT-g-h的动态VaR模型。用该模型对上证综指进行实证分析,结果表明,该模型能够更合理有效地管理上证综指收益的风险,并且在高的置信水平上表现更好。
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| 关 键 词： | g-h分布 极值风险 阀值 |
Study on Extreme Risk Measurement Based on g-h Distribution |
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| ZHOU Xiao-hua , ZHANG Bao-shuai , FENG Meng-yu. Study on Extreme Risk Measurement Based on g-h Distribution[J]. Statistics & Information Tribune, 2012, 27(7): 23-27 |
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| Authors: | ZHOU Xiao-hua ZHANG Bao-shuai FENG Meng-yu |
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| Affiliation: | 1.School of Economy and Business Administration,Chongqing University,Chongqing 400030,China; 2.Yan’an Central Sub-Branch,The People’s Bank of China,Yan’an 716000,China) |
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| Abstract: | The standard residuals series is constructed by using ARMA-GJR model,and use of EVT theory to determine the sample threshold,finally a new g-h distribution of financial risk measurement model is established based on the ARMA-GJR-EVT-g-h VaR model.Empirical analysis of the Shanghai Composite Index is done with the model,the results show that the model can be more reasonable and effective measure of SSE Composite Index return of risk. |
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| Keywords: | g-h distribution extreme value theory threshold |
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