| 基于CVaR-SV-N模型的股指期货风险度量 |
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| 引用本文： | 王丽娜,张丽娟. 基于CVaR-SV-N模型的股指期货风险度量[J]. 南方金融, 2010, 0(10) |
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| 作者姓名： | 王丽娜 张丽娟 |
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| 作者单位： | 1. 上海立信会计学院,上海,201620
2. 上海大学,上海,200444 |
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| 基金项目： | 上海市教育委员会科研创新项目(项目编号:06QS007); 教育部人文社科规划项目(项目编号:08JA790083)的资助 |
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| 摘 要： | CVaR-SV-N模型能够更好地刻画股指期货收益率序列尖峰、厚尾和波动集群性的特征。以我国沪深300指数期货合约(IF1012)的日收益率为样本的实证分析表明建立在SV-N模型基础上的CVaR预测收益率涨跌波动与原始收益率的变化趋势比较一致,CVaR准确性检验说明CVaR预测收益的准确性在统计上是显著的,能够较准确地预测风险。
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| 关 键 词： | 股指期货 CVaR模型 SV-N模型 |
The Risk Forecast of Stock Index Futures Based on the CVaR-SV-N Model |
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| Wang Lina,Zhang lijuan. The Risk Forecast of Stock Index Futures Based on the CVaR-SV-N Model[J]. South China Finance, 2010, 0(10) |
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| Authors: | Wang Lina Zhang lijuan |
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| Affiliation: | Wang Lina1 and Zhang lijuan 2(1.Shanghai Lixin University of Commerce,Shanghai,201620 China,2.Shanghai University,200444 China) |
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| Abstract: | CVaR-SV-N model can be used to describe the characters of the stock index futures return,such as peaks,thick tails and volatility clustering.This paper apply the CVaR-SV-N model to the empirically study the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 contracts(IF1012).The conclusion is that fluctuations of CVaR forecast earnings based on SV-N model is in compliance with the trend of the original returns.The accurate CVaR test reveals that the accuracy of CVa... |
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| Keywords: | Stock Index Future CVaR Model SV-N Model |
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