摘要
本文对5G板块进行风险度量研究,结果表明:对数收益率序列存在有偏、尖峰厚尾、非正态的特征,同时具有ARCH效应;通过拟合不同分布下的GJRGARCH(1,1)模型,发现5G板块不存在杠杆效应;采用GJRGARCH(1,1)模型在不同分布下进行VaR计算,由Kupiec检验得到基于skew-t分布的GJRGARCH(1,1)模型可以更好地度量5G板块的金融风险,其可信度和稳健性强。
In this paper,the research on the risk measurement of the 5G plate is carried out.The results show that the logarithm of the yield series has a bias,a sharp peak,a non-normal feature,and an ARCH effect.The GJRGARCH(1,1)model with different distributions is fitted.It is found that there is no leverage effect in the 5G plate;the VaR calculation is performed under different distributions using the GJRGARCH(1,1)model,and the GJRGARCH(1,1)model based on the skew-t distribution can be better measured by the Kupiec test.
作者
李世君
唐国强
杜诗雪
LI Shijun;TANG Guoqiang;DU Shixue(School of Science, Guilin University of Technology, Guilin Guangxi 541006, China)
出处
《广西师范大学学报（自然科学版）》
CAS
北大核心
2020年第5期56-63,共8页
Journal of Guangxi Normal University:Natural Science Edition
基金
国家自然科学基金(61703117,61763008)
广西中青年教师基础能力提升项目(2018KY0261)。
