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VaR模型及其在上海股市中的应用
  • ISSN号：0254-9409
  • 期刊名称：《计算数学：英文版》
  • 时间：0
  • 分类：F830.39[经济管理—金融学]
  • 作者机构：[1]大连交通大学数理系,辽宁大连116028, [2]西安理工大学理学院,西安710048
  • 相关基金：国家自然科学基金（10231060）资助.
作者： 林美艳[1], 薛宏刚[2], 张月[1]
关键词： VAR, Back-test检验, GARCH模型, logarithmic return rate, normal distribution test, t distribution.
中文摘要：

资产未来收益率分布是决定VaR计算准确性的主要因素，针对上海证券市场综合指数收益率分布的不同假设，从静态与动态角度给出4种计算VaR的方法．首先通过拟合历史数据，说明上证综合指数收益率服从t4.579分布，然后考虑到收益率波动的时变性，用GARCH（1，1）模型来估计波动率．最后通过Back-test检验，得出GARCH-t4．869是计算VaR的最好的模型．

英文摘要：

The distribution of asset＇s future return rate is the key factor in calculating the assets value at risk. For different assumption of Shanghai stock market integrated index, we gave four methods to calculate VaR under static or dynamic condition. Firstly, we got the return rate of Shanghai stock market integrated indexobeied distribution by fitting historic data. Secondly, we estimated volutation used GARCH （ 1,1 ） considering the return rate fluctuation. Lastly, we obtained the GARCH （ 1,1 ） - t4. 369 which is the best model by back - test.

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期刊信息
  • 《计算数学：英文版》
  • 主管单位:
  • 主办单位:中国科学院数学与系统科学研究院
  • 主编：
  • 地址：北京2719信箱
  • 邮编：100080
  • 邮箱：
  • 电话：
  • 国际标准刊号：ISSN：0254-9409
  • 国内统一刊号：ISSN：11-2126/O1
  • 邮发代号:
  • 获奖情况:
  • 中国期刊方阵“双效”期刊
  • 国内外数据库收录:
  • 美国数学评论（网络版）,德国数学文摘,荷兰文摘与引文数据库,美国科学引文索引（扩展库）,英国科学文摘数据库,日本日本科学技术振兴机构数据库
  • 被引量:193