| 基于GARCH模型的VaR方法对中国股市的分析 |
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| 引用本文： | 陈守东,俞世典. 基于GARCH模型的VaR方法对中国股市的分析[J]. 吉林大学社会科学学报, 2002, 0(4) |
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| 作者姓名： | 陈守东 俞世典 |
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| 作者单位： | 吉林大学数量经济研究中心 吉林长春130012(陈守东)，复旦大学管理学院 上海200433(俞世典) |
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| 摘 要： | 中国股票市场的收益率具有厚尾性 ,可以利用GARCH模型中的条件方差来度量其VaR。我们运用了基于不同分布假定下的GARCH模型的VaR方法对深圳股票市场与上海股票市场的风险进行了分析。分析的结果表明深圳股票市场比上海股票市场有更大的风险 ;用t分布和GED分布假定下的GARCH模型能够更好地反映出收益率的风险特性
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| 关 键 词： | GARCH模型 VaR 股票市场 t分布 GED分布 |
Analysis of China''''s Stock Market Using VaR Method Based on GARCH Model |
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| CHEN Shou dong ,YU Shi dian. Analysis of China''''s Stock Market Using VaR Method Based on GARCH Model[J]. Jilin University Journal Social Sciences Edition, 2002, 0(4) |
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| Authors: | CHEN Shou dong YU Shi dian |
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| Affiliation: | CHEN Shou dong 1,YU Shi dian 2 |
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| Abstract: | In this paper we use some GARCH models based on some different distributions assumption to calculate Value at Risk of Shanghai stock market and Shenzhen stock market The results are: (1) the Risk of Shenzhen stock market is larger than Shanghai stock market; (2) t distribution and GED distribution are better than Normal distribution in reflecting risk property of return rate |
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| Keywords: | GARCH model Value at Risk stock market t distribution GED distribution |
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