应用半参数法计算石油市场风险价值  

To compute the oil market value at risk by applying semi-parametric approach

作　　者：冯春山[1] 吴家春[1] 蒋馥[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《湖北大学学报（自然科学版）》2004年第3期213-217,共5页Journal of Hubei University：Natural Science

摘　　要：由于石油价格收益存在厚尾性特征,采用通常的GARCH参数估计风险价值(VaR)会严重低估风险,对此提出了一种半参数方法,实证表明这种半参数方法在99%的置信度下VaR的计算结果大大改善.Because the oil price return distribution is fat tail, it will underestimate the price change risk if using the usual GARCH model to compute the VaR. By putting forward a semi-parametric approach to solve this problem, the empirical result shows that it is much better than the usual GARCH model under the likelihood of (99?%).

关 键 词：半参数法 石油 价格 收益分布 风险价值模型 

分 类 号：F764[经济管理—产业经济] F224