基于EVT-POT-SVt模型的风险度量研究

金融资产收益常因金融市场的剧烈波动而产生异常变化，针对其收益的厚尾性、波动的异方差性等特征，采用基于Markov链的Monte Carlo模拟积分方法对随机波动模型进行参数估计并取得标准残差序列，应用极值理论与SVt模型相结合，建立了基于EVT-POT-SVt的动态VaR模型。通过对上证综指收益做实证分析，结果表明:该模型能很好地刻画收益序列的波动性及尾部分布特征，在度量上证综指收益的风险方面合理而有效。

Risk Evaluation Measures Based on EVT-POT-SV Model

Facing with the fat-tail proceeds and the heteroskedasticity characteristics of volatility from financial assets return,the article uses Markov chain Monte Carlo method to estimate the parameters of the Standard SV model.At the same time,it transfers return series into standard residuals and uses EVT-POT method to capture the fat tails of standard residuals.Then,the paper constructs a new dynamic VaR risk measure based on EVT-POT-SV and applies it to daily returns of composite index of Shanghai stock market...