| 基于VaR-GARCH模型族的我国期铜市场风险度量研究 |
| |
| 引用本文： | 刘庆富,仲伟俊,梅姝娥.基于VaR-GARCH模型族的我国期铜市场风险度量研究[J].系统工程学报,2006,21(4):429-433. |
| |
| 作者姓名： | 刘庆富 仲伟俊 梅姝娥 |
| |
| 作者单位： | 东南大学经济管理学院,江苏,南京,210096 |
| |
| 基金项目： | 国家自然科学基金资助项目(70573044) |
| |
| 摘 要： | 描述了金融时间序列的一般特性,从收益的波动性与分布出发,组建起计算时变风险价值的VaR-GARCH模型族,并应用该模型族在3种分布假设下对我国铜期货的市场风险进行了实证分析.研究结果表明,基于广义误差分布的VaR-EGARCH模型能很好地刻画期铜收益的尖峰厚尾性与市场风险.同时,对期铜市场风险的变动趋势进行了详细剖析.
|
| 关 键 词： | 风险价值 广义自回归条件异方差 广义误差分布 市场风险 |
| 文章编号： | 1000-5781（2006）04-0429-05 |
| 收稿时间： | 2004-09-08 |
| 修稿时间： | 2004-09-082006-04-28 |
Market risk measurement of copper futures in China based on VaR-GARCH models |
| |
| LIU Qing-fu,ZHONG Wei-jun,MEI Shu-e.Market risk measurement of copper futures in China based on VaR-GARCH models[J].Journal of Systems Engineering,2006,21(4):429-433. |
| |
| Authors: | LIU Qing-fu ZHONG Wei-jun MEI Shu-e |
| |
| Institution: | School of Economics and Management, Southeast University, Nanjing 210096, China |
| |
| Abstract: | This paper describes the general characteristics of the financial time series and constructs the VaR-GARCH models for calculating time_varying value at risk based on the volatility and distributions of returns.The market risk of copper futures in China is measured empirically by these models on three distributions.The results show that the VaR-EGARCH model based on the general error distribution(GED) can accurately describe high peaks and fat tails of returns and market risk in Chinese copper futures.In addition,the market risk trend of copper futures is analyzed in detail. |
| |
| Keywords: | Value at Risk(VaR) GARCH general error distribution(GED) market risk |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
