| 基于EGARCH-CVaR的我国股市风险分析 |
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| 引用本文： | 王菲.基于EGARCH-CVaR的我国股市风险分析[J].科学技术与工程,2011(26). |
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| 作者姓名： | 王菲 |
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| 作者单位： | 华南理工大学,广州,510640 |
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| 摘 要： | 根据我国股票市场收益的基本特征,对上证180指数收益率序列分别构建基于正态分布、t分布和GED分布的EGARCH模型。通过计算三种不同分布下的CVaR值,对股市风险进行分析。并将EGARCH模型的CVaR值与GARCH模型的CVaR值进行比较。结果表明,基于广义误差分布的EGARCH模型(EGARCH-GED)能更好地刻画我国股市的市场风险。
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| 关 键 词： | CVaR EGARCH模型 GARCH模型 |
| 收稿时间： | 6/10/2011 4:33:39 PM |
| 修稿时间： | 2011/6/17 0:00:00 |
Study on Risk in Chinese Stock Market Based on EGARCH-CVaR |
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| wangfei.Study on Risk in Chinese Stock Market Based on EGARCH-CVaR[J].Science Technology and Engineering,2011(26). |
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| Authors: | wangfei |
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| Institution: | WANG Fei,FANG Wei-dong(South China University of Technology,Guangzhou 510640,P.R.China) |
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| Abstract: | Based on the basic characteristics of return serious in Chinese Stock Market,by the model of EGARCH with normal distribution,generalized distribution and t distribution,which are used to calculate CVaR and then compared with the GARCH model.It shows that EGARCH-GED model is a better method to describe the market risk in Chinese Stock Market. |
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| Keywords: | CVaR EGARCH model GARCH model |
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