| VaR模型在人民币汇率风险度量中的应用 |
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| 引用本文： | 魏金明,陈敏.VaR模型在人民币汇率风险度量中的应用[J].上海商学院学报,2009,10(4):90-93. |
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| 作者姓名： | 魏金明 陈敏 |
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| 作者单位： | 1. 西安交通大学,经济与金融学院,中国,西安,710061
2. 山东理工大学经济学院,中国,淄博,255049 |
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| 基金项目： | 山东省社会科学规划研究项目 |
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| 摘 要： | 本文首先从VaR模型的假设前提入手,通过对人民币汇率收益率序列的随机性、正态性和异方差性的综合检验,验证了VaR模型在人民币汇率风险度量中的适用性.随后,分别采用非参数法和参数法两大类共九种VaR方法对人民币汇率风险进行实证度量.最后,通过准确性检验发现,GARCH-t模型是度量当前人民币汇率风险的最优方法.
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| 关 键 词： | 人民币汇率风险 VaR模型 度量方法 非参数法 参数法 |
Application of the VaR Model in the Measurement of RMB Exchange Rate Risk |
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| Authors: | WEI Jinming CHEN Min |
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| Abstract: | In this paper, we, to begin with, analyzed the applicable assumption of VaR model. By the random test, normal test and heteroscedasticity test of the return series of RMB exchange rate, we proved that VaR model is suitable to measure the risk of RMB exchange rate. Then we used 9 VaR approaches which belong to the nonparametric methods or the parametric methods to estimate VaR, respectively. Finally, we found that GARCH-t model performed best in measuring the risk of present RMB exchange rate according to the accuracy test. |
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| Keywords: | RMB exchange rate risk VaR model measurement methods nonparametric methods parametric methods |
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