| 基于fattailed-garch的VaR模型 |
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| 引用本文： | 罗付岩,唐邵玲. 基于fattailed-garch的VaR模型[J]. 系统工程, 2005, 23(11): 29-33 |
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| 作者姓名： | 罗付岩 唐邵玲 |
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| 作者单位： | 湖南师范大学,数学与计算机科学学院,概率统计系,湖南,长沙,410081 |
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| 基金项目： | 高校博士点专项科研基金资助项目（20040542006）. |
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| 摘 要： | 利用Fattail_GARCH VaR模型在不同分布的假设下建模上证综指收益时间序列，并与常用的正态分布下GARCH_VaR模型进行比较，结果表明：广义误差分布及Skewed t分布下的GARCH_VaR模型适合建模上证综指收益时间序列。
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| 关 键 词： | 金融风险 在险价值VaR Fattail_GARCH |
| 文章编号： | 1001-4098（2005）11-0029-05 |
| 收稿时间： | 2005-03-08 |
| 修稿时间： | 2005-03-08 |
VaR Model Based on Fattailed GARCH |
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| LUO Fu-yan,TANG Shao-ling. VaR Model Based on Fattailed GARCH[J]. Systems Engineering, 2005, 23(11): 29-33 |
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| Authors: | LUO Fu-yan TANG Shao-ling |
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| Affiliation: | School of Mathematics and Computer Science,Hunan Normal University,Changsha 410081,China |
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| Abstract: | In this paper, I model Shanghai composite indices by the use of GARCH_VaR model based on different distribution;furthermore,an comparative analysis is performed among different GARCH_VaR model based on 4 type distribution,the results show that the GARCH VaR model based on GED or Skewed t distributing is better for shanghai composite indices. |
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| Keywords: | Financial Risk VaR Fattail_GARCH |
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