| 基于EGARCH模型和Bootstrap方法的在险价值度量 |
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| 引用本文： | 冯烽.基于EGARCH模型和Bootstrap方法的在险价值度量[J].广西财经学院学报,2011,24(5). |
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| 作者姓名： | 冯烽 |
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| 作者单位： | [1]广西财经学院数学与统计系,广西南宁530003;[2]福州大学管理学院,福建福州350002 |
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| 基金项目： | 广西教育厅资助项目“中国股票市场指数收益率的波动研究与风险价值的测度”(200802LX233) |
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| 摘 要： | 针对孤立使用传统的历史模拟法及GARCH类模型进行风险分析的不足,把EGARCH参数模型与Boostrap非参数方法结合起来,给出了基于EGARCH模型和Bootstrap的VaR测度的半参数方法。实证结果表明,基于EGARCH模型和Bootstrap的VaR度量方法比传统的历史模拟法计算的效果更好。
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| 关 键 词： | Bootstrap方法 EGARCH模型 在险价值 风险度量 |
VaR Measure Based on EGARCH Model and Bootstrap Method |
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| FENG Feng.VaR Measure Based on EGARCH Model and Bootstrap Method[J].JOURNAL OF GUANGXI UNIVERSITY OF FINANCE AND ECONOMICS,2011,24(5). |
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| Authors: | FENG Feng |
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| Institution: | FENG Feng1,2(1.Department of Mathematics and Statistics,Guangxi University of Finance and Economics,Nanning 530003,China,2.School of Management,Fuzhou University,Fuzhou 350002,China) |
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| Abstract: | In the light of the deficiency of History Simulation Method and EGARCH Model,the paper combines EGARCH parametric model with Bootstrap nonparametric method and provides a semi-parametric measure method of the asset VaR.Emperical study shows that the VaR measure method on the basis of EGARCH and Bootstrap is more effective than History Simulation Method. |
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| Keywords: | Bootstrap method EGARCH model value at Risk risk measure |
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