| 基于GARCH模型的证券投资基金VaR计算与实证研究 |
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| 引用本文： | 杨夫立.基于GARCH模型的证券投资基金VaR计算与实证研究[J].经济问题,2012(6):87-91. |
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| 作者姓名： | 杨夫立 |
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| 作者单位： | 南开大学经济学院,天津,300071 |
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| 摘 要： | 基于统计技术的度量金融市场风险值(Value at Risk,VaR)已成为测量市场风险的新标准和新方法。鉴此,如何高效、准确地进行VaR的计算将是问题所在。基于GARCH模型,讨论了对数收益率时间序列在正态、学生t和广义误差(GED)三种不同分布下的VaR计算方法,对样本基金的市场风险进行估计,并通过返回检验来检验模型的准确性。研究结果表明,基于GED分布的GARCH模型计算的VaR值最能真实地反映基金风险。
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| 关 键 词： | 基金风险 风险度量 VaR GARCH模型 返回检验 |
THE Measurement of VaR in Securities Investment Fund and Empirical Research Based on GARCH Model |
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| YANG Fu-li.THE Measurement of VaR in Securities Investment Fund and Empirical Research Based on GARCH Model[J].On Economic Problems,2012(6):87-91. |
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| Authors: | YANG Fu-li |
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| Institution: | YANG Fu-li(School of Economics,Nankai University,Tianjin 300071,China) |
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| Abstract: | The method of VaR(Value at Risk) based on statistics is known as the main stream in this field nowadays.The paper sets up the VaR-GARCH Model for the risk of mutual fund based on the consideration of volatility and distribution of the return series,and estimates the VaR of mutual fund in China using the model under normal distribution,t-distribution and GED-distribution separately.Using Kupiecs back-testing we test the veracity of the VaR-GARCH Model.The result shows the VaR estimated using the model under GED-distribution is the best in reflecting the risk of mutual fund. |
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| Keywords: | the risk of mutual fund risk measures VaR GARCH model |
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