基于GARCH模型的VaR方法對中國股市的分析Analysis of China's Stock Market Using VaR Method Based on GARCH Model
陳守東,俞世典
摘要(Abstract):
中國股票市場的收益率具有厚尾性 ,可以利用GARCH模型中的條件方差來度量其VaR。我們運用了基于不同分布假定下的GARCH模型的VaR方法對深圳股票市場與上海股票市場的風險進行了分析。分析的結果表明深圳股票市場比上海股票市場有更大的風險 ;用t分布和GED分布假定下的GARCH模型能夠更好地反映出收益率的風險特性
關鍵詞(KeyWords): GARCH模型;VaR;股票市場;t分布;GED分布
基金項目(Foundation):
作者(Author): 陳守東,俞世典
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