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基于GARCH模型的核证减排期货风险VaR度量与分析

发表时间:2012-07-15  浏览量:1324  下载量:1213
全部作者: 徐天艳,刘传哲
作者单位: 中国矿业大学管理学院
摘 要: 运用广义自回归条件异方差(generalized autoregressive conditional heteroskedasticity, GARCH)模型首先对欧洲气候期货交易所上市交易的核证减排(certified emission reduction, CER)期货价格波动性特征进行实证研究。实证检验核证减排期货收益率序列存在高阶自回归条件异方差(autoregressive conditional heteroskedasticity, ARCH)效应,GARCH(1,1)模型可以对其波动性特征进行很好的拟合和解释,并且核证减排期货收益率的波动大小即总体风险都与其各自过去的波动大小有明显关系。在假设收益率分别服从正态分布、学生t分布和广义误差分布(generalized error distribution, GED)的情况下,分别计算核证减排期货的风险价值(value at risk, VaR)值,并对VaR值进行准确性验证,结果显示各模型均通过了Kupiec检验,说明GARCH模型预测的VaR值比较准确,能够比较真实地反映核证减排期货的市场风险程度。
关 键 词: 金融工程与风险管理;风险度量;广义自回归条件异方差模型;核证减排期货
Title: Risk evaluation and analysis of VaR for CER futures based on GARCH model
Author: XU Tianyan, LIU Chuanzhe
Organization: School of Management, China University of Mining and Technology
Abstract: This paper first made an empirical research on certified emission reduction (CER) futures’ price volatility characteristics by using generalized autoregressive conditional heteroskedasticity (GARCH) model, traded on the Chicago climate futures exchange. Through the empirical research, the paper found that autoregressive conditional heteroskedasticity (ARCH) effect existed in CER futures’ return series order, and GARCH(1,1) model can well fit and explain those characteristics. And CER futures’ sizes of volatility, which were the overall risks, had significant relationship with their respective past sizes of fluctuations. Besides, this paper evaluated risk of VaR on separate assumptions that yield is under normal distribution, student’s t distribution and generalized error distribution (GED). After an accuracy verification of VaR values, results showed that: the three models were all passed the Kupiec test. It means values of the VaR predicted by GARCH models are accurate, and they can reflect the market risk of CER futures.
Key words: financial engineering and risk management; risk measurement; generalized autoregressive conditional heteroskedasticity model; certified emission reduction futures
发表期数: 2012年7月第13期
引用格式: 徐天艳,刘传哲. 基于GARCH模型的核证减排期货风险VaR度量与分析[J]. 中国科技论文在线精品论文,2012,5(13):1277-1283.
 
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