| 基于GARCH-VaR模型的石油价格风险研究 |
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| 引用本文： | 周莹,焦建玲.基于GARCH-VaR模型的石油价格风险研究[J].合肥工业大学学报(自然科学版),2011(9):1423-1428. |
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| 作者姓名： | 周莹 焦建玲 |
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| 作者单位： | 合肥工业大学管理学院; |
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| 基金项目： | 国家自然科学基金资助项目(70971034); 安徽省自然科学基金资助项目(090416243) |
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| 摘 要： | 石油价格收益率一般不符合VaR模型的独立、对称的正态分布假设,表现出金融时间序列的非对称性、异方差、波动聚集等特征.文章提出利用GARCH模型估计石油价格收益率的时变条件方差,改进传统VaR对方差的估计,并通过实证分析,估计石油价格风险,即在一定的置信度水平下石油价格可能的最大日损失值,估计结果显示改进的GARCH-V...
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| 关 键 词： | 石油价格风险 在险值 GARCH模型 |
Study of oil price risk based on GARCH-VaR model |
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| ZHOU Ying,JIAO Jian-ling.Study of oil price risk based on GARCH-VaR model[J].Journal of Hefei University of Technology(Natural Science),2011(9):1423-1428. |
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| Authors: | ZHOU Ying JIAO Jian-ling |
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| Institution: | ZHOU Ying,JIAO Jian-ling(School of Management,Hefei University of Technology,Hefei 230009,China) |
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| Abstract: | Oil prices yield is generally not following the independent and symmetrical normal distribution of the VaR Model,which causes asymmetry,heteroskedasticity and volatility clustering of financial time series.In this paper,a GARCH model is introduced to estimate the time-varying conditional variances of oil prices yield,which improves the performance of the traditional VaR method in this respect.By using this improved GARCH-VaR method,the oil prices risks,namely the probable maximum daily loss value of the oil... |
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| Keywords: | oil price risk value at risk(VaR) GARCH model |
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