排序方式: 共有12条查询结果,搜索用时 15 毫秒
1.
与正态分布相比,上证指数收益率的经验分布具有尖峰厚尾特征,但用Scaled t-分布比正态分布可以更好地拟合上证指数收益率的经验分布。本文以Scaled t-分布假设下的GJR模型为基础,测量了上证指数收益率波动性的杠杆效应,即信息对波动性的不对称影响:并根据GJR模型应用Monte Carlo模拟方法,测定上证指数日收益率和持有期收益率的风险价值(VaR)。根据GJR模型提供的结果,上证指数30天、60天和90天持有期收益率的风险值分别为12.1%、17.8%、22.0%。用GJR模型比均值-方差模型和历史模拟方法计算的5%显著性水平VaR值更接近实际收益率。 相似文献
2.
3.
4.
可转换债券是兼具债权和期权的复合衍生金融工具,其价值包括普通债券价值和转股期权价值。由于目前我国的利率未市场化,纯粹债券价值保持稳定,可转换债券价值的波动仅取决于期权价值的波动,而短期内期权价格的变动主要受股票价格的影响。文章首先采用一般的蒙特卡罗模拟法计算出可转债对应股票的VaR,然后与基于t分布和TARCH(1,1)-M模型的蒙特卡罗模拟法相比较,发现后者的股票VaR模型是合理的;最后根据金融随机过程,计算出转股期权的VaR,进而推算出可转换债券的VaR。 相似文献
5.
Autoregressive Conditional Kurtosis 总被引:2,自引:0,他引:2
Brooks Chris; Burke Simon P.; Heravi Saeed; Persand Gita 《The Journal of Financial Econometrics》2005,3(3):399-421
This article proposes a new model for autoregressive conditionalheteroscedasticity and kurtosis. Via a time-varying degreesof freedom parameter, the conditional variance and conditionalkurtosis are permitted to evolve separately. The model usesonly the standard Students t-density and consequentlycan be estimated simply using maximum likelihood. The methodis applied to a set of four daily financial asset return seriescomprising U.S. and U.K. stocks and bonds, and significant evidencein favor of the presence of autoregressive conditional kurtosisis observed. Various extensions to the basic model are proposed,and we show that the response of kurtosis to good and bad newsis not significantly asymmetric. 相似文献
6.
从我国开放式基金收益率序列的分布、波动性和杠杆效应三方面考虑,在正态分布、t分布和GED分布的假设下,-建立了估计基金风险的VaR—GARCH、VaR—EGARCH模型,选择合适的模型对各只基金及不同类型基金的VaR值进行估计,并应用Kupiec方法对VaR模型的准确性进行了返回检验。结果显示,基于GED分布的GARCH模型计算的VaR值比基于t分布的GARCH模型计算的VaR值更真实地反映了基金的风险,不同投资类型和投资风格的基金的风险也不尽相同。 相似文献
7.
The trace of the scaled covariance matrix of the multivariate t-distribution is considered for estimation using a power transformation. The proposed estimator always dominates the usual
maximum likelihood estimator in the sense of having smaller risk under a quadratic loss function. The dominance behaviour
is proved analytically as well as computationally by using Monte-Carlo simulation. 相似文献
8.
VaR-APARCH模型与期货投资风险量化分析 总被引:4,自引:0,他引:4
通过对我国沪铜期货合约连续序列的基本统计分析发现,收益率序列存在尖峰厚尾性,不服从正态分布,还具有杠杆效应。通过采用基于t分布的APARCH族模型来计算在险价值VaR,并对结果进行了返回检验,得到如下结论:基于t分布APARCH模型能通过检验,说明了t分布对于拟合收益率的分布是一种非常好的方式;其中无论对于多头还是空头而言,在90%的置信度下,利用APARCH-t模型可以得到最优的度量结果。 相似文献
9.
基于GARCH模型的VaR方法对我国开放式基金风险的分析 总被引:3,自引:0,他引:3
本文从我国开放式基金收益率序列的分布与波动性两方面建立了一个估计基金风险的VaR-GARCH模型,在正态分布和能够刻画收益率的尖峰厚尾特征的t分布GED分布三种不同的分布假设下,对基金的VaR值进行估计,并应用Kupiec失败频率检验方法对VaR模型的准确性进行了返回检验。结果显示,基于GED分布的GARCH模型计算的VaR值比基于正态分布和t分布GARCH模型计算的VaR值更真实地反映了基金的风险。 相似文献
10.
Holm's (1979) step-down and Hochberg's (1988) step-up procedures for tests of multiple hypotheses are simple to apply and are widely used. Holm's procedure controls the familywise error rate (FWE), while Hochberg's is more powerful. This paper investigates a step-down procedure (labelled CS) of Seneta & Chen (1997) which is a sharpening of Holm's, takes into account the degree of association between test statistics, and also controls the FWE. Computation for the CS procedure may be minimized by using the procedure as an adjustment to Holm's. The computational steps are detailed, and the adjustment is then illustrated by an application to a text-book example of multiple comparisons, in which step-wise procedures are shown to perform better than the usual Tukey T -comparison. Simulation investigations in a standard comparison with a control setting show that the CS step–down procedure is more powerful than Hochberg's step-up procedure and the procedure of Simes (1986), especially in regard to error rate, and not much less powerful than an optimal, but very specific, step-up procedure of Dunnett & Tamhane (1992). 相似文献