摘要
主要讨论 Va R模型中有关波动率的估计方法 .通过拉格朗日检验 ( LM) ,发现上海股市的日收益率服从 ARCH过程 .分别采用 GARCH( 1 ,1 )模型、Risk Metrics和移动平均法预测上海股市日收益率的波动性 ,计算每天的 Va R.返回式检验表明 ,GARCH( 1 ,1 )模型比 Risk
The volatility models used in VaR are discussed in this paper. The Lagrange multiplier (LM) test verifies that the return series of shanghai stock markets is an ARCH process. The daily VaRs of stock returns are computed using GARCH (1,1) model, MA method and RiskMetrics respectively. The back\|testing indicates that GARCH (1,1) model reflect the real market risk more accurately than traditional MA method and RiskMetrics.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2003年第5期20-25,135,共7页
Systems Engineering-Theory & Practice
