SWARCH模型下的VaR估计  

VaR Estimation Based on SWARCH Model

作　　者：苏涛[1] 詹原瑞[1] 

机构地区：[1]天津大学管理学院

出　　处：《数量经济技术经济研究》2005年第12期143-149,共7页Journal of Quantitative & Technological Economics

摘　　要：本文将状态转换下的ARCH模型(SWARCH)引入到估计金融资产VaR中,以上证股票指数为例进行实证分析,并与传统GARCH(1,1)模型中正态分布、t分布、GED分布估计的结果进行了比较,实证显示含有状态转换的VaR具有较好的估计效果。This paper introduces the time serie application of VaR under the SWARCH. SSE Index as a example is carried out in the empirical study. VaR estimation based on SWARCH is comparing with the traditional GARCH models based on density of Gauss, t-Student and GED. The result shows SWARCH VaR model perform more exactly than the others.

关 键 词：状态转换 平滑概率 VAR 

分 类 号：F224.0[经济管理—国民经济]