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基于不同分布假设的GARCH模型对上证指数风险值预测能力的比较研究 被引量:2

An Comparative Study on Forecasting VaR of Shanghai Stock Index Using GARCH Model with Different Distributions
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摘要 采用GARCH模型对上海股票市场的潜在风险进行了度量.通过对三种不同分布(N orm al,Student-t,GED)进行返回检验,可看出GED分布能更好地刻画上证指数的尖峰厚尾特征,从而也能更准确地预测沪市的风险值. Forecast the Value-at-Risk of shanghai stock market adopting GARCH model. Through returning examination of three different distributions (Normal,Student-t,GED),we can see GED distrition can delineate excess kurtosis and fat tail better,and then it can predict the value-at-risk of stock markets of Shanghai more accurately.
出处 《太原师范学院学报(自然科学版)》 2006年第2期1-4,共4页 Journal of Taiyuan Normal University:Natural Science Edition
关键词 GARCH模型 厚尾分布 风险值 GARCH model fat-tailed distribution value-at-risk
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