摘要
本文探讨了VaR方法在房地产收益波动性度量中的应用,并对上海二手房指数时间序列的收益率风险进行了实证研究,结果表明此方法对于指数收益率风险的度量具有较强的适用性。
The paper analyzes the statistical characteristic of Shanghai＇ s real estate return series and applies the VaR method based on GARCH model in measuring the volatility of real estate return. The empirical result demonstrates the strong ability of the method in predicting the monthly maximum loss in real estate market.
出处
《中央财经大学学报》
CSSCI
北大核心
2006年第4期69-74,共6页
Journal of Central University of Finance & Economics
