| 基于GARCH模型和非参数模型的上海股市VaR的比较 |
| |
| 引用本文： | 何静慧. 基于GARCH模型和非参数模型的上海股市VaR的比较[J]. 绍兴文理学院学报, 2005, 0(2) |
| |
| 作者姓名： | 何静慧 |
| |
| 作者单位： | 绍兴文理学院数理信息学院 浙江绍兴312000 |
| |
| 摘 要： | 从VaR的定义出发,考虑基于GARCH类模型和基于非参数模型的VaR估计.对于前者进行筛选以后,采用EGARCH(1,1)模型来估计资产或资产组合未来收益率的波动,后者则用核估计方法估计资产或资产组合未来收益率的概率密度函数,并用这两个模型对上海股市进行了实证研究,结果表明后者不失为一种值得考虑的方法.
|
| 关 键 词： | GARCH模型 核估计 VaR 股票市场收益率 |
Comparison of VaRs of Shanghai Stock Market Based on GARCH Model and Non-parametric Model |
| |
| He Jinghui. Comparison of VaRs of Shanghai Stock Market Based on GARCH Model and Non-parametric Model[J]. Journal of Shaoxing College of Arts and Sciences, 2005, 0(2) |
| |
| Authors: | He Jinghui |
| |
| Abstract: | The paper begins with VaR's definition and discusses the two VaRs based on GARCH model and non-parametric model.The former selects the EGARCH(1,1) model to estimate the volatility of the future return rate series of a certain portfolio,and the later estimates the probability density function of the future returns series with non-parametric kernel estimator.Besides,we do an empirical research on Shanghai stock market with the two models.The results show that the later is worthy to be studied. |
| |
| Keywords: | GARCH model kernel estimator VaR return rate of stock market. |
| 本文献已被 CNKI 等数据库收录！ |
|
