| 基于非对称GARCH的铜期货市场风险度量研究 |
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| 引用本文： | 陈宴祥,罗健英,杨建康.基于非对称GARCH的铜期货市场风险度量研究[J].成都理工大学学报(社会科学版),2011,19(2):7-14. |
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| 作者姓名： | 陈宴祥 罗健英 杨建康 |
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| 作者单位： | 成都理工大学,管理科学学院,成都,610059 |
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| 基金项目： | 教育部人文社科基金青年项目"中国与国际金融市场极值风险传导机理实证研究" |
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| 摘 要： | 针对金融时间序列普遍存在自相关性、杠杆效应、尖峰厚尾等典型事实,运用基于杠杆效应的GARCH模型,构建铜期货市场收益序列具有典型事实的动态风险测度模型:VaR-AR(m)-EGARCH(p,q)和VaR-AR(m)-TGARCH(p,q),再通过上海期货交易所(SHFE)铜期货对所建模型进行实证分析,并运用Back-testing中的LRT(Likelihood Ratio Test)方法,对铜期货市场风险测度模型准确性和可靠性进行实证检验。实证结果表明,基于非对称GARCH的铜期货市场动态风险度量模型,能够有效捕获铜期货市场的典型事实,同时还能够准确测度具有杠杆效应的铜期货市场的动态风险,也能加强对金融市场动态风险预测能力。
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| 关 键 词： | 杠杆效应 波动率 EGARCH TGARCH 动态风险VaR测度 LRT检验 |
A Study of Copper Future Market's VaR Measurement Based on Asymmetric GARCH Model |
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| CHEN Yan-xiang,LUO Jian-ying,YANG Jian-kang.A Study of Copper Future Market's VaR Measurement Based on Asymmetric GARCH Model[J].Journal of Chengdu University of Technology:Social Sciences,2011,19(2):7-14. |
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| Authors: | CHEN Yan-xiang LUO Jian-ying YANG Jian-kang |
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| Institution: | CHEN Yan-xiang,LUO Jian-ying,YANG Jian-kang(College of Management Sciences,Chengdu University of Technology.Chengdu 610059,China) |
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| Abstract: | In this article,we consider the financial time series' style facts-autocorrelation,leverage effect,leptokurtic and fated tail,so we choose AR(1)-EGARCH(1,1) and AR(1)-TGARCH(1,1) model to measure copper future market's dynamic VaR,both of them are based on leverage effect.Furthermore,we use Likelihood Ratio Test(LRT) method to Back-test the accuracy of these two models.The result shows that both of them could capture the style facts of copper futures,and also measure the copper future market's dynamic VaR a... |
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| Keywords: | EGARCH TGARCH |
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