| 基于GARCH-CVaR与GARCH-VaR的人民币汇率风险测度及效果对比研究 |
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| 引用本文： | 朱新玲,黎鹏.基于GARCH-CVaR与GARCH-VaR的人民币汇率风险测度及效果对比研究[J].中南民族大学学报(自然科学版),2011,30(2):129-134. |
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| 作者姓名： | 朱新玲 黎鹏 |
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| 作者单位： | 1. 武汉科技大学管理学院,武汉,430081
2. 中南民族大学经济学院,武汉,430074 |
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| 基金项目： | 教育部人文社会科学研究项目 |
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| 摘 要： | 运用GARCH-CVaR和GARCH-VaR方法,在不同模型、不同分布、不同置信水平的假定下,对人民币汇率风险进行测度,测度结果表明:GARCH模型的种类对CVaR和VaR的计算结果影响不明显,而分布假定和置信水平对CVaR和VaR的计算结果影响显著;同时,还对GARCH-CVaR和GARCH-VaR的风险测度效果进行了对比研究,对比结果表明:分布假定和置信水平会显著影响CVaR对VaR的改进效果.
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| 关 键 词： | 汇率风险 在险价值 条件在险价值 分布假定 |
Research on Risk Measurement of RMB Exchange Rate and Its Result Comparison by GARCH-CVaR and GARCH-VaR |
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| Zhu Xinling,Li Peng.Research on Risk Measurement of RMB Exchange Rate and Its Result Comparison by GARCH-CVaR and GARCH-VaR[J].Journal of South-Central Univ for,2011,30(2):129-134. |
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| Authors: | Zhu Xinling Li Peng |
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| Institution: | Zhu Xinling1,Li Peng2(1 School of Management,Wuhan University of Science and Technology,Wuhan 430081,China,2 College of Economics,South-Central University of Nationalities,Wuhan 430074,China) |
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| Abstract: | GARCH-CVaR and GARCH-VaR are applied to measure the risk of RMB/USD exchange rate series under different assumptions of models,distributions and confidence intervals.The results show that the differences from different GARCH models are not quite obvious,but the distributions and the confidence intervals are quite obvious.Meanwhile,comparative analysis on risk measure effects of GARCH-CVaR and GARCH-VaR is also presented.Comparative results show that the distribution assumptions and confidence levels can sig... |
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| Keywords: | risk of exchange rate VaR CVaR distribution assumptions |
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