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GARCH-EVT模型在动态VaR中的应用 被引量：13

Application of GARCH-EVT Model in Dynamic VaR
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摘要 在综合考虑金融资产收益数据分布的波动集群性和厚尾特征,尤其是波动的条件异方差对动态VaR估计的影响的基础上,运用极值理论(EVT),建立了GARCH-EVT模型,计算了上海证券市场综合指数的动态VaR,并且将GARCH-EVT模型与GARCH-NORMAL模型进行比较.通过实证分析,并利用后验测试,结果表明GARCH-EVT模型优于GARCH-NORMAL模型.GARCH-EVT模型很好地解决了波动集群性和厚尾现象,为管理者和投资者提供了一个控制风险、预测收益的量化工具. Considering both the characteristics of clustering volatility and fat-tail of the data distribution of returns on financial assets especially the impact of conditional heteroscedaticity on the estimate of dynamic VAR, a GARCH-EVT model is developed by EVT （extreme value theory） to calculate the dynamic VAR（value at risk） of SSCI （Shanghai stock comprehensive index）, then the model is compared with the GARCH-NORMAL model. The empirical analysis and posterior test results reveal that the GARCH-EVT model is superior to the GARCH- NORMAL model, because the former can solve better the problems of clustering volatility and fattail phenomenon. So it provides the managers and investors with quantitatively useful means for risk control.
作者 高莹 周鑫 金秀
机构地区 东北大学工商管理学院
出处 《东北大学学报（自然科学版）》 EI CAS CSCD 北大核心 2008年第4期601-604,共4页 Journal of Northeastern University(Natural Science)
基金 国家自然科学基金资助项目(70771023)
关键词 动态VaR(value at risk) GARCH 极值理论 波动 厚尾 dynamic VaR GARCH EVT volatility fat-tail
分类号 F830.9 [经济管理—金融学] O221.4 [理学—运筹学与控制论]
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参考文献9

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二级参考文献26

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共引文献127

同被引文献62

  • 1高松,李琳,史道济.平稳序列的POT模型及其在汇率风险价值中的应用[J].系统工程,2004,22(6):49-53. 被引量：12
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引证文献13

二级引证文献29

东北大学学报（自然科学版）
2008年 第4期

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