| 基于实际波动率的VaR模型实证研究 |
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| 引用本文： | 马玉林,王希泉.基于实际波动率的VaR模型实证研究[J].山东大学学报(理学版),2007,42(10):84-89. |
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| 作者姓名： | 马玉林 王希泉 |
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| 作者单位： | 山东财政学院,统计与数理学院,山东,济南,250014 |
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| 摘 要： | 以实际波动率预测方法替代传统的波动率预测方法，应用到VaR模型中去，并随机选择了五只股票数据进行实证研究，比较基于GARCH模型和实际波动率模型的两种VaR预测结果，得到基于实际波动率的VaR预测效果显著地优于基于GARCH模型的VaR预测效果.
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| 关 键 词： | 风险价值 实际波动率 GARCH模型 |
| 文章编号： | 1671-9352（2007）10-0084-06 |
| 修稿时间： | 2007-05-28 |
Empirical study about value at risk model based on the realized volatility |
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| MA Yu-lin,WANG Xi-quan.Empirical study about value at risk model based on the realized volatility[J].Journal of Shandong University,2007,42(10):84-89. |
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| Authors: | MA Yu-lin WANG Xi-quan |
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| Institution: | School of Statistics and Mathematics, Shandong University of Finance, Jinan 250014, Shandong, China |
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| Abstract: | The forecast method of realized volatility instead of methods previously used was used to study the value at risk model. Five stocks were chosen at random for empirical research, For forecasting performance of a GARCH type model with the forecasting performance of a model based on the daily realized volatility, the results show that the later is evidently better than the former. |
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| Keywords: | value risk realized volatility GARCH model |
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