| 基于GARCH模型的风险价值在现货黄金市场的比较研究 |
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| 引用本文： | 王凤,王中香,何穗.基于GARCH模型的风险价值在现货黄金市场的比较研究[J].湖北师范学院学报(自然科学版),2009,29(3):81-84,115. |
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| 作者姓名： | 王凤 王中香 何穗 |
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| 作者单位： | 华中师范大学,数学与统计学院,湖北,武汉,430079 |
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| 摘 要： | 风险价值VaR现广泛运用于金融风险测量中,但基于正态性假设的VaR并不能很好的处理金融变量中的尖峰厚尾性且VaR未能考虑更加重要的尾部风险,CVaR 弥补了VaR方法存在的缺陷.利用基于GARCH模型的CVaR在性质上的优越性,通过现货黄金市场的实证研究,对不同分布下的VaR及CVaR值进行比较,得出新的结论.我们发现基于GED分布GARCH模型的VaR及CVaR值要好于基于正态分布及t分布的VaR及CVaR值.
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| 关 键 词： | GARCH模型 GED分布 |
Comparative studies of the value at risk based on GARCH family model in spot gold market |
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| WANG Feng,WANG Zhong-xiang,HE Sui.Comparative studies of the value at risk based on GARCH family model in spot gold market[J].Journal of Hubei Normal University(Natural Science),2009,29(3):81-84,115. |
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| Authors: | WANG Feng WANG Zhong-xiang HE Sui |
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| Institution: | College of Mathematics and Statistics;Huazhong Normal University;Wuhan 430079;China |
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| Abstract: | The value at risk VaR has been widely applied in the financial risk measurement,but VaR which is on the basis of normal distribution cannot do better in treating with thick tail of variables.At the same time,tail risk is considered by CVaR,which is neglected by VaR.As we know,CVaR is superior to VaR in some properties.So we use VaR and CVaR which is on the basis of GARCH Model in spot gold market.After the comparison,we obtain some useful conclusions which can contribute to gold futures market. |
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| Keywords: | VaR CVaR |
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