| 基于"已实现"波动的VaR计算及其持续性研究 |
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| 引用本文： | 郭名媛,张世英. 基于"已实现"波动的VaR计算及其持续性研究[J]. 西北农林科技大学学报(社会科学版), 2006, 6(6): 42-45 |
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| 作者姓名： | 郭名媛 张世英 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 摘 要： | VaR方法作为金融风险的计量工具已经得到了国际金融界的广泛认可。以往国内外文献对于VaR的计算以及对VaR的持续性的分析都是以低频金融数据为研究对象的,不能充分利用金融市场价格运动中的日内信息。将基于高频金融数据的“已实现”波动这种波动度量新方法引入到了VaR的计算中,并利用上海股票市场的高频金融数据对上海股票市场的VaR的持续性进行了实证分析,证明上海股票市场的{VaRt}存在持续性。
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| 关 键 词： | " 已实现" 波动 ARFIMA模型 持续性 |
| 文章编号： | 1009-9107(2006)06-0042-04 |
| 修稿时间： | 2006-02-22 |
Calculating VaR Based on Realized Volatility and Study on the Persistence of VaR |
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| GUO Ming-yuan,ZHANG Shi-ying. Calculating VaR Based on Realized Volatility and Study on the Persistence of VaR[J]. Journal of Northwest A&F University(Social Science Edition), 2006, 6(6): 42-45 |
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| Authors: | GUO Ming-yuan ZHANG Shi-ying |
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| Abstract: | As a method for financial risk measurement,VaR(Value at Risk) has been widely accepted by the international financial community.In previous research papers,the calculation of value at risk and the analysis of the persistence of value at risk are both based on low-frequency data,which can't fully make use of the intraday information of the financial market.In this paper,we apply realized volatility which is a new volatility estimator based on highfrequency data to the calculation of value at risk.Then we analyze the persistence of value at risk using high-frequency data of Shanghai stock market. |
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| Keywords: | VaR(Value at Risk) |
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