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提出了基于EGARCH-M-VaR的半参数方法,根据EGARCH-M模型的参数估计得到条件标准差,并进一步算出VaR,算出溢出率。同时计算出基于正态分布和学生-t分布假设下的GARCH模型、EGARCH-M模型对应的VaR值及溢出率。通过统计分析和后验测试等实证研究表明,基于EGARCH(1,1)-M-VaR的半参数方法在刻画深圳股票市场风险方面有明显的优势。
A semi-parametric method based on EGARCH-M-VaR is proposed. The conditional standard deviation is obtained according to the parameter estimation of EGARCH-M model, and the VaR is further calculated to calculate the overflow rate. At the same time, the GARCH model based on the normal distribution and the student-t distribution hypothesis, the VaR value corresponding to the EGARCH-M model and the overflow rate are calculated. Empirical studies, such as statistical analysis and post-test, show that the semi-parametric method based on EGARCH (1,1) -M-VaR has obvious advantages in portraying the risk of Shenzhen stock market.