| 基于GARCH-CVaR的人民币汇率风险测度研究 |
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| 引用本文： | 朱新玲,黎鹏. 基于GARCH-CVaR的人民币汇率风险测度研究[J]. 广西金融研究, 2011, 0(4): 15-19 |
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| 作者姓名： | 朱新玲 黎鹏 |
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| 作者单位： | 1. 武汉科技大学管理学院,湖北武汉,430081
2. 中南民族大学经济学院,湖北武汉,430074 |
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| 基金项目： | 教育部人文社会科学研究项目 |
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| 摘 要： | 本文运用GARCH-CVaR方法,在不同模型、不同分布、不同置信水平的假定下,对人民币汇率风险进行测度,研究表明,GARCH模型的种类对CVaR的计算结果影响不明显,而分布假定和置信水平对CVaR的计算结果影响显著。
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| 关 键 词： | 汇率风险CVaR 分布假定 测度研究 |
Research on the Measurement of the risk of RMB Exchange Rate by GARCH-CVaR Model |
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| Zhu Xinling,Li Peng. Research on the Measurement of the risk of RMB Exchange Rate by GARCH-CVaR Model[J]. JOurnal of Guangxi Financial Research, 2011, 0(4): 15-19 |
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| Authors: | Zhu Xinling Li Peng |
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| Affiliation: | Zhu Xinling Li Peng (Wuhan University of Science and Technology,Wuhan Hubei 430081; South-central University of Nationalities,Wuhan Hubei 430074) |
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| Abstract: | GARCH-CVaR is applied to measure the risk of RMB/USD exchange rate series under different assumptions of models,distributions and confidence intevals.The results show that the differences from different GARCH models are not quite obvious,but the distributions and the confidence intervals are quite obvious. |
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| Keywords: | Risk of Exchange Rate Distribution Assumptions Measurement |
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