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| 基于GARCHSK的铜期货VaR估计方法研究 | |
| 引用本文： | 梁春早. 基于GARCHSK的铜期货VaR估计方法研究[J]. 北京航空航天大学学报(社会科学版), 2010, 23(1): 79-83. DOI: 10.3969/j.issn.1008-2204.2010.01.016 |
| 作者姓名： | 梁春早 |
| 作者单位： | 天津大学,管理学院,天津,300072 |
| 摘 要： | 基于GARCHSK模型对期货收益序列的条件偏度和峰度进行动态建模，提出了“有偏”和“尖峰厚尾”分布下的VaR估计方法。通过对沪铜期货的实证研究表明，其收益分布存在明显的“有偏”和“尖峰厚尾”。基于不同分布假定下的VaR估计结果的Kupiec检验表明，基于GARCHSK的VaR估计方法能够有效提高VaR的估计精度。 |
| 关 键 词： | VaR GARCHSK模型 条件偏度和峰度 Kupiec检验 |
| 收稿时间： | 2008-10-15 |
Study on the Estimation of VaR of Copper Futures Based on GARCHSK Model |
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| LIANG Chun-zao. Study on the Estimation of VaR of Copper Futures Based on GARCHSK Model[J]. Journal of Beijing University of Aeronautics and Astronautics(Social Sciences Edition), 2010, 23(1): 79-83. DOI: 10.3969/j.issn.1008-2204.2010.01.016 | |
| Authors: | LIANG Chun-zao |
| Affiliation: | School of Management;Tianjin University;Tianjin 300072;China |
| Abstract: | This paper has estimated the conditional skewness and kurtosis using the GARCHSK model and then proposed an estimation method of VaR based on skewed and fat tailed distribution.The empirical results from Shanghai copper futures data suggest that the conditional skewness and kurtosis are time varying significantly.And the estimation method based on GARCHSK model can make the VaR estimation more accurate after considering the impacts of conditional skewness and kurtosis. |
| Keywords: | VaR GARCHSK model conditional skewness and kurtosis Kupiec test |
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