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基于GARCH族模型的中国股指期货风险价值研究

发表时间:2012-07-15  浏览量:1226  下载量:457
全部作者: 何敏,王新宇
作者单位: 中国矿业大学管理学院
摘 要: 根据广义误差分布(generalized error distribution, GED)适合刻画资产收益的厚尾分布和GARCH族模型能动态描述收益率行为的特点,得到基于GED分布的广义自回归条件异方差(generalized autoregressive conditional heteroskedasticity, GARCH)族模型,EGARCH模型的日风险价值(value at risk,VaR)度量方法。利用沪深300指数收盘价代替指数期货进行模拟分析,计算市场风险的日VaR,并利用LR统计量检验法对两模型的风险价值计算结果进行比较。结果表明:基于EGARCH-GED模型的风险价值能更好地刻画沪深300的市场风险,可用于对我国刚刚开展的以沪深300指数为标的物的股指期货进行风险预测。
关 键 词: 金融学;股指期货;风险预测;风险价值方法;GARCH族模型;广义误差分布
Title: Study on value of stock index futures risk based on GARCH family model
Author: HE Min, WANG Xinyu
Organization: School of Management, China University of Mining and Technology
Abstract: In line with generalized error distribution (GED) is suited to describe asset returns with fat tails, and the merit of generalized autoregressive conditional heteroskedasticity (GARCH) family model describing the yield behavior with dynamic characteristics, the paper gets value at risk (VaR) measure methods using GARCH and EGARCH models, which based on the GED distribution. It uses the Shanghai and Shenzhen 300 index closing price to substitute index futures for simulation analysis, and calculate the daily market risk VaR. Then, it makes use of Kupiec LR test statistic to compare the results of risk value of the two models. The results show that the value risk of EGARCH-GED model can better describe the market risk of Shanghai and Shenzhen 300, and that can be used for risk prediction of China’s newly launched stock index futures with the subject matter of Shanghai and Shenzhen 300 index.
Key words: finance; stock index futures; risk prediction; value at risk method; GARCH family model; generalized error distribution
发表期数: 2012年7月第13期
引用格式: 何敏,王新宇. 基于GARCH族模型的中国股指期货风险价值研究[J]. 中国科技论文在线精品论文,2012,5(13):1260-1268.
 
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