| 利用PGARCH-M模型估计Value-at-Risk |
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| 引用本文： | 王苹. 利用PGARCH-M模型估计Value-at-Risk[J]. 科学技术与工程, 2009, 9(17) |
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| 作者姓名： | 王苹 |
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| 作者单位： | 青岛科技大学数理学院,青岛,266042 |
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| 摘 要： | 建立一种新的度量风险值(VaR)模型PGARCH-M (Power GARCH-M),并利用该模型,通过对工业指数和地产指数的VaR计算,得出基于GED分布的PGARCH-M模型估计VaR极端值更为精确,优于基于正态分布的PGARCH-M模型和PGARCH模型.
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| 关 键 词： | PGARCH-M模型 PGARCH模型 GED分布 |
| 收稿时间： | 2009-05-24 |
| 修稿时间： | 2009-06-10 |
Estimation of Value-at-Risk Using PGARCH-M Model |
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| wangping. Estimation of Value-at-Risk Using PGARCH-M Model[J]. Science Technology and Engineering, 2009, 9(17) |
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| Authors: | wangping |
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| Affiliation: | School of Mathematics and Physics;Qingdao Unniversity of Science and Technology;Qingdao 266042;P.R.China |
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| Abstract: | A new VaR model is established:PGARCH-M(Power GARCH-M).Empirical study using historical data of closing price of industy and index shows that PGARCH-M model based on GED distribution calculate VaR accurately,outperform PGARCH model and PGARCH-M model based on normal distribution,espcialy for extreme quantile. |
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| Keywords: | VaR |
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