| 基于VaR-EGARCH-GED模型的深圳股票市场波动性分析 |
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| 引用本文： | 刘晓星,何建敏,刘庆富.基于VaR-EGARCH-GED模型的深圳股票市场波动性分析[J].南开管理评论,2005,8(5):9-13. |
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| 作者姓名： | 刘晓星 何建敏 刘庆富 |
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| 作者单位： | 广东商学院金融系
(刘晓星)，东南大学经济管理学院
(何建敏)，复旦大学金融研究院(刘庆富) |
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| 基金项目： | 国家自然科学基金项目(非瓦尔拉斯均衡的风险价值模型,编号70371035) |
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| 摘 要： | 本文应用模型EGARCH(1,1)-GED和GARCH(1,1)-N计算了深圳股票市场成份指数的日对数回报VaR值。通过后验测试和统计分析表明,对深圳成份指数的波动性分析,模型EGARCH(1,1)-GED优于GARCH(1,1)-N。在此分析结果基础上,文中进一步分析了深圳股票市场的系统性风险并提出了相关结论与政策建议。
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| 关 键 词： | VaR-EGARCH(1 1)-GED 波动性 后验测试 系统风险 |
Volatility Analysis of Shenzheng Stock Market Based on VaR- EGARCH(1, 1)-GED Model |
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| Liu Xiaoxing,He Jianmin,Liu Qingfu.Volatility Analysis of Shenzheng Stock Market Based on VaR- EGARCH(1, 1)-GED Model[J].Nankai Business Review,2005,8(5):9-13. |
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| Authors: | Liu Xiaoxing He Jianmin Liu Qingfu |
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| Abstract: | In this paper, EGARCH(1,1)-GED model and GARCH(1,1)-N model are applied to calculate the VaR value of day logarithm return data of Shenzheng Stock Exchange Index. The paper concludes that the EGARCH(1,1)-GED model is better than the GARCH(1,1)-N model in time series of Shenzheng Stock Index returns and volatility by back test- ing and statistic analysis. At last, the paper analyzes the system risk of Shenzheng Stock Market and presents correlative conclusion and policy suggestion. |
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| Keywords: | VaR-EGARCH(1 1)-GED Volatility Back Testing Sys- tem Risk |
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