| "杠杆效应"对计算沪市在险价值的影响 |
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| 引用本文： | 齐胜理,丁元子."杠杆效应"对计算沪市在险价值的影响[J].安徽工业大学学报(社会科学版),2009,26(1). |
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| 作者姓名： | 齐胜理 丁元子 |
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| 作者单位： | 安徽工业大学,经济学院,安徽,马鞍山,243002;安徽工业大学,经济学院,安徽,马鞍山,243002 |
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| 摘 要： | 通过比较GARCH-t、TGARCH-t和EGARCH-t模型计算沪市在险价值(VaR)的效果,研究"杠杆效应"对沪市在险价值的影响。结果表明,当置信水平为95%和99%时,EGARCH-t模型计算VaR值结果比较准确、精度较高,GARCH-t和TGARCH-t模型均高估了市场风险。
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| 关 键 词： | 沪市 杠杆效应 在险价值 |
The Impact of "Leverage Effect"on the Calculation of Value at Risk in Shanghai Stock Market |
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| Authors: | QI Sheng-li DING Yuan-zi |
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| Institution: | School of Economics;AHUT;Ma'anshan 243002;Anhui;China |
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| Abstract: | Take shanghai stock index for example,by comparing the accuracy of the GARCH-t,TGARCH-t and EGARCH-t model in calculation of VaR in Shanghai stock,the results show that,at the confidence level of 95% and 99%,EGARCH-t model was more accurate and with higher precision for the calculation of VaR,while GARCH-t and TGARCH-t models are all over-estimate the risk. |
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| Keywords: | Shanghai Stock Market leverage effect value at risk |
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