基于EGARCH和C-F扩展的VaR模型及应用  

The VaR and Its Application Based on EGARCH and C-F Expansion Models

作　　者：陈收[1] 曹雪平[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《系统工程》2004年第10期29-34,共6页Systems Engineering

基　　金：国家博士点基金资助项目(20030532012)

摘　　要：分别运用EGARCH和Cornish-Fisher扩展的VaR模型对中国深、沪股市的期望收益率与风险进行了实证比较研究,发现结合异方差的Cornish-Fisher扩展的VaR模型与仅用波动率描述的VaR计量方法比较,具有较好修正作用;同时对中国股票市场风险成因作了初步探讨。The paper applies the EGARCH model and the Cornish-Fisher expansion model into the VaR separately, which (investigates) the relationship between expect returns and risk in ShangHai and ShenZhen stock market. The study (demonstrates) that the Cornish-Fisher expansion model, which combined heterodasticty, can modify the common way which computer the VaR only by volatility. At the same time, this paper preliminarily analysis the reasons that cause to risk of (China) stock market.

关 键 词：风险价值 EGARCH模型 Cornish-Fisher扩展模型 VAR模型 金融市场 风险测量 

分 类 号：F830.9[经济管理—金融学]