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基于广义双曲线SV模型的极值风险度量研究
引用本文:周孝华,姬新龙,马宁.基于广义双曲线SV模型的极值风险度量研究[J].统计与信息论坛,2013,28(1):3-8.
作者姓名:周孝华  姬新龙  马宁
作者单位:重庆大学经济与工商管理学院,重庆,400030
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》
摘    要:在金融风险的度量中,拟合分布的选取直接影响到风险度量的精度问题。针对金融收益序列的动态变化,在SV模型中引入广义双曲线学生偏t分布(SV-GHSKt)拟合金融收益序列的尖峰厚尾、不对称以及杠杆效应等特征,通过马尔科夫蒙特卡洛模拟的方法将收益率序列转化为标准残差序列,然后用极值理论的POT模型拟合标准残差序列尾部分布,进而建立一种新的金融风险度量模型———基于SV-GHSKt-POT的动态VaR模型。用该模型对上证综合指数做实证研究,结果表明,SV-GHSKt-POT的动态VaR模型能很好地模拟金融收益序列的尖峰厚尾性、波动集聚性及杠杆效应,并且能够合理有效地提高风险测度的精度,尤其在高的置信水平下表现更好。

关 键 词:随机波动模型  广义双曲线学生偏t分布  马尔科夫蒙塔卡罗模拟  极值理论

Study on Extreme Risk Measurement Based on SV-GHSKt Model
ZHOU Xiao-hua , JI Xin-long , MA Ning.Study on Extreme Risk Measurement Based on SV-GHSKt Model[J].Statistics & Information Tribune,2013,28(1):3-8.
Authors:ZHOU Xiao-hua  JI Xin-long  MA Ning
Institution:(School of Economics and Business Adminstration,Chongqing University,Chongqing 400030,China)
Abstract:The fitting distribution is very important in the measurement of the financial risk.This paper uses the stochastic volatility model with generalized hyperbola skew student's distribution(SV-GHSKt) to fit the characteristics of financial return series,and the financial return series are transformed into the standard residuals series,then the standard residuals tail distribution is fitted by the POT model,a new financial risk measure model is established——the dynamic VaR model based on SV-GHSKt-POT.The results show,the SV-GHSKt-POT model can effectively identify SSEC Index volatility regime characteristics,and it is more advantageous than the other several models about SSEC Index return risk measure,especially in the high confidence level.
Keywords:stochastic volatility  generalized hyperbolic skew student's t distribution  MCMC  extreme risk theory
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