| 基于多分形波动率测度的ES风险度量 |
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| 引用本文： | 王鹏,魏宇.基于多分形波动率测度的ES风险度量[J].系统管理学报,2012,21(2):192-200. |
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| 作者姓名： | 王鹏 魏宇 |
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| 作者单位： | 1. 西南财经大学金融学院,成都,610074
2. 西南交通大学经济管理学院,成都,610031 |
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| 基金项目： | 国家自然科学基金资助项目，教育部新世纪优秀人才支持计划，西南财经在211工程三期青年教师成长项目第二批 |
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| 摘 要： | 多分形波动率(Multifractal Volatility,MFV)是一种最近提出的金融市场波动率测度方法。以上证综指和标准普尔500指数的高频价格数据为例,构造了多分形波动率测度的lnMFV-ARMA动力学模型,并运用基于Bootstrap方法的后验分析过程,实证对比了lnMFV-ARMA模型与其他6种常用波动模型对ES(Excepted Shortfall)风险测度的估计精度差异。实证结果表明:在所考察的大多数分位数水平下,lnMFV-ARMA模型对ES风险测度的估计精度都优于许多现有常用波动模型,特别是对标准普尔500指数的极端价格波动风险具有最优的刻画能力。
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| 关 键 词： | 多分形波动率 ARMA模型 ES 风险度量 |
Excepted Shortfall Estimation Based on Multifractal Volatility |
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| WANG Peng
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WEI Yu.Excepted Shortfall Estimation Based on Multifractal Volatility[J].Systems Engineering Theory·Methodology·Applications,2012,21(2):192-200. |
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| Authors: | WANG Peng WEI Yu |
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| Institution: | 1.School of Finance,Southwest University of Finance and Economics,Chengdu 610074,China; 2.School of Economics & Management,Southwest Jiaotong University,Chengdu 610031,China) |
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| Abstract: | Multifractal Volatility(MFV) is a recently proposed volatility measurement.We take the high-frequency datasets of SSEC and S&P500 as sample and construct an lnMFV-ARMA model to estimate excepted shortfall.We further compare lnMFV-ARMA model with other volatility models based on the ES estimation precision.Empirical results show that model based on multifractal volatility performs better than many GARCH models and lnMFV-ARMA performs best in ES estimation to S&P500 index. |
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| Keywords: | multifractal volatility ARMA model excepted shortfall risk measurement |
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