| 基于VAR-GARCH模型我国外汇风险分析 |
| |
| 引用本文： | 吴慧慧.基于VAR-GARCH模型我国外汇风险分析[J].伊犁师范学院学报(自然科学版),2014(2):10-13,49. |
| |
| 作者姓名： | 吴慧慧 |
| |
| 作者单位： | 湛江师范学院数学与计算科学学院,广东湛江524048 |
| |
| 摘 要： | 通过对美元收益率R序列的特征分析发现，序列存在非正态性、尖峰厚尾、非对称性、异方差性的特征。分别基于正态分布、T分布、GED分布和偏态T分布的GARCH类模型对R序列进行实证分析。经过VAR方法的风险度量可知，基于T分布的GARCH-M模型对多头美元市场的风险度量最为准确。
|
| 关 键 词： | 外汇风险 GARCH类模型 VAR方法 偏态T分布 |
VAR Method Based on GARCH Model Measured Foreign Exchange Risk |
| |
| WU Hui-hui.VAR Method Based on GARCH Model Measured Foreign Exchange Risk[J].Journal of Ili Normal University,2014(2):10-13,49. |
| |
| Authors: | WU Hui-hui |
| |
| Institution: | WU Hui-hui (School of Mathematics and Computer Science, Zhanjiang Normal University, Zhanjiang, Guangzhou 524048, China) |
| |
| Abstract: | Based on the statistical characteristics we find that the dollar yield sequence of R has the characteristics of thick tail, non-normality, asymmetry, time-varying conditional variance. Do the empirical analysis of R series through the GARCH class models based on the normal distribution, T distribution,GED distribution and skewed T distribution. Through the VAR method of risk measurement, the GARCH-M model based on T distribution can predict the bull market risk most accurately. |
| |
| Keywords: | Foreign Exchange Risk GARCH class models VAR method skewed T distribution |
| 本文献已被 维普 等数据库收录！ |
