| 基于ARMA-GARCH模型的风险价值与条件风险价值计算 |
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| 引用本文： | 李志海,叶建萍,杨善朝.基于ARMA-GARCH模型的风险价值与条件风险价值计算[J].广西科学,2009,16(4):406-409. |
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| 作者姓名： | 李志海 叶建萍 杨善朝 |
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| 作者单位： | 广西师范大学数学科学学院,广西桂林,541004 |
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| 摘 要： | 基于ARMA-GARCH模型,给出风险价值VaR、条件风险价值CVaR的计算公式,分别在标准正态分布、student＇T分布、Skewed-T分布、广义误差分布条件下对模型进行数值模拟,并用上证A股、大同煤业股票相关数据拟合模型来进行实证分析.结果表明,利用ARMA-GARCH模型给出的计算公式能够准确地估计VaR值与CVaR值,并且随着给定概率水平p的减少,VaR与CVaR的值增大,对于给定同一概率水平的CVaR值比VaR值大,CVaR比VaR更能体现风险度量的大小.
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| 关 键 词： | 风险度量 风险价值 条件风险价值 GARCH模型 |
| 收稿时间： | 2009/2/26 0:00:00 |
| 修稿时间： | 2009/4/17 0:00:00 |
A Calculation of VaR and CVaR Based on ARMA-GARCH Model |
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| LI Zhi-hai,YE Jian-ping and YANG Shan-chao.A Calculation of VaR and CVaR Based on ARMA-GARCH Model[J].Guangxi Sciences,2009,16(4):406-409. |
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| Authors: | LI Zhi-hai YE Jian-ping and YANG Shan-chao |
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| Institution: | LI Zhi-hai,YE Jian-ping,YANG Shan-chao(College of Mathematical Guangxi Normal University,Guilin Guangxi,541004,China) |
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| Abstract: | Based on ARMA-GARCH model,the formula for calculating the risk of the value of VaR and the value at risk conditions of CVaR are given,respectively,in the standard normal distribution,student'T distribution,Skewed-T distribution,the generalized error distribution model under the condition of numerical simulation. Simulation results show that the use of ARMA-GARCH model can more accurately estimate VaR and CVaR.At last we use Shanghai Stock Index and Datong Coal stock close of empirical data analysis,results ... |
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| Keywords: | risk measurement VaR CVaR GARCH model |
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