| 流动性风险的探讨与实证分析 |
| |
| 引用本文： | 邓娟,周宏,陈梦伟.流动性风险的探讨与实证分析[J].贵州大学学报(自然科学版),2009,26(5):4-7. |
| |
| 作者姓名： | 邓娟 周宏 陈梦伟 |
| |
| 作者单位： | 1. 南京农业大学理学院,江苏,南京,210095
2. 复旦大学,上海,200438 |
| |
| 基金项目： | 江苏省人文社科基金重点项目 |
| |
| 摘 要： | 首先对流动性时间序列进行特征分析，根据时间序列自相关和偏相关的特点建立相应的自回归移动平均模型。用LM检验模型的残差是否存在异方差现象；为了很好的描述丛集性的特征，建立了ARMA（1，1）-ARCH（1）模型；然后再对模型的残差做删和Q统计量的检验，来解释模型的合理性。最后，根据所建的模型求出条件异方差，进而计算流动性风险值。
|
| 关 键 词： | 流动性风险 异方差 检验 |
The Empirical Analysis of Liquidity Risk |
| |
| DENG Juan,ZHOU Hong,CHEN Meng-wei.The Empirical Analysis of Liquidity Risk[J].Journal of Guizhou University(Natural Science),2009,26(5):4-7. |
| |
| Authors: | DENG Juan ZHOU Hong CHEN Meng-wei |
| |
| Institution: | DENG Juan, ZHOU Hong ,CHEN Meng-wei(1. College of Science, Nanjing Agriculture University, Nanjing210095, China; 2. Fudan university, Shanghai 200438, China) |
| |
| Abstract: | This paper, at first, analyzes the feature of liquidity time Series. Autoregressive moving average model is built according to the characteristics of correlation and partial correlation. LM is used to test whether the heteroskedasticity phenomenon exists in residual series ;In order to describe the trait cluster better, ARMA （ 1,1 ） -ARCH（ 1 ） model is built too; At the same time, LM and Q statistics are used to test to explain the rationality of Model. Finally, conditional heteroskedasticity is easy to know based on the model, and then the value of liquidity risk can be calculated. |
| |
| Keywords: | liquidity risk heteroskedasticity test |
| 本文献已被 维普 万方数据 等数据库收录！ |
|
