| VaR-GARCH模型在我国股指期货风险管理中的应用 |
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| 引用本文： | 李基梅,刘青青.VaR-GARCH模型在我国股指期货风险管理中的应用[J].山东理工大学学报,2009,23(4). |
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| 作者姓名： | 李基梅 刘青青 |
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| 作者单位： | 山东科技大学信息科学与工程学院; |
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| 摘 要： | 国内外预测股指期货合约的市场风险基本以VaR风险评估为主流,计算VaR的核心与关键是估计波动性参数.由于金融资产价格涨跌率时间序列具有波动聚集效应、厚尾效应及时变方差效应,故采用对波动性估计具有精度、准确度和可信度较高的GARCH模型.基于这一点,构建了VaR-GARCH模型,并以恒生股指期货指数做了实证分析,结果表明VaR-GARCH模型可以很好地控制和预测香港恒生指数的股指期货风险.
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| 关 键 词： | 股指期货 风险管理 VaR-GARCH模型 |
The application of VaR-GARCH model in the risk management of stock index futures |
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| LI Ji-mei,LIU Qing-qing.The application of VaR-GARCH model in the risk management of stock index futures[J].Journal of Shandong University of Technology:Science and Technology,2009,23(4). |
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| Authors: | LI Ji-mei LIU Qing-qing |
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| Institution: | College of Information Science and Engineering;Shandong University of Science and Technology;Qingdao 266510;China |
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| Abstract: | Nowadays,forecasting the market risk of stock index futures contract,home and abroad,is mainly in the light of VaR risk assessment.The core and key of computing VaR is to estimate fluctuation parameters.Because the time series for the price of advance decline ratio of financial assets have volatility clustering effect,fat tail effect and time variance effect,it is possible to use GARCH model of higher precision and reliability on volatility of fluctuation.For this reason,this paper established the VaR-GARCH... |
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| Keywords: | stock index futures risk management VaR-GARCH model |
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