| 基于GARCH模型的风险价值蒙特卡罗模拟 |
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| 引用本文： | 陈磊,任若恩,张金宝. 基于GARCH模型的风险价值蒙特卡罗模拟[J]. 系统工程, 2006, 24(7): 57-61 |
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| 作者姓名： | 陈磊 任若恩 张金宝 |
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| 作者单位： | 北京航空航天大学,经管学院,北京,100000 |
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| 摘 要： | 讨论用蒙特卡罗模拟（MC）方法计算风险价值（VAR）。分别用样本标准差和广义自回归条件异方差（GARCH）作为参数代入几何布朗运动方程中，并把计算结果进行比较，得出各模型的适用范围。
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| 关 键 词： | 风险价值 广义自回归条件异方差 蒙特卡罗模拟 |
| 文章编号： | 1001-4098（2006）07-0057-05 |
| 收稿时间： | 2006-05-26 |
| 修稿时间： | 2006-05-26 |
The Application of Monte Carlo Simulation Based on GARCH Model in Computing Var |
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| CHEN Lei,REN Ruo-en,ZHANG Jin-bao. The Application of Monte Carlo Simulation Based on GARCH Model in Computing Var[J]. Systems Engineering, 2006, 24(7): 57-61 |
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| Authors: | CHEN Lei REN Ruo-en ZHANG Jin-bao |
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| Affiliation: | School of Economics and Management, Beihang University, Beijing 100083,China |
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| Abstract: | There are three ways to compute value at risk. Monte carlo simulation is the best way. Garch model is a good tool to handle the time series data. In this article, the two tools were combined to compute VAR,then draw a conclusion that the MC-GARCH-VAR is better than others. |
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| Keywords: | VAR GARCH Monte Carlo Simulation |
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