| 基于中国股市波动率的多元模型比较与分析 |
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| 引用本文： | 樊蓉,周宏.基于中国股市波动率的多元模型比较与分析[J].贵州大学学报(自然科学版),2008,25(6). |
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| 作者姓名： | 樊蓉 周宏 |
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| 作者单位： | 南京农业大学理学院,南京,210095 |
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| 摘 要： | 讨论了DCC-GARCH和ICA-GARCH的多元时间序列协方差模型,并从中国股市出发,对中国股市的波动率进行估计及预测.同时,引入VaR模型,比较各多元模型衡量中国股市波动率的准确性及适用性.
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| 关 键 词： | 波动率 在险价值 协方差 |
The comparison of multivariate models at Stock Market Volatility of China |
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| FAN Rong,ZHOU Hong.The comparison of multivariate models at Stock Market Volatility of China[J].Journal of Guizhou University(Natural Science),2008,25(6). |
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| Authors: | FAN Rong ZHOU Hong |
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| Institution: | FAN Rong,ZHOU Hong(Collage of Science,Nanjing Agriculture University,Nanjing 210095,China) |
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| Abstract: | The multivariate DCC-GARCH and ICA-GARCH models is discussed to estimate and forecast the volatility of Chinese stock market.And judge which one is more accurately than other models comparing with VaR model. |
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| Keywords: | volatility value at risk covariance |
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