基于GARCH模型的风险价值蒙特卡罗模拟  

The Application of Monte Carlo Simulation Based on GARCH Model in Computing Var

作　　者：陈磊[1] 任若恩[1] 张金宝[1] 

机构地区：[1]北京航空航天大学经管学院,北京100000

出　　处：《系统工程》2006年第7期57-61,共5页Systems Engineering

摘　　要：讨论用蒙特卡罗模拟(M C)方法计算风险价值(VAR)。分别用样本标准差和广义自回归条件异方差(GARCH)作为参数代入几何布朗运动方程中,并把计算结果进行比较,得出各模型的适用范围。There are three ways to compute value at risk. Monte carlo simulation is the best way. Garch model is a good tool to handle the time series data. In this article, the two tools were combined to compute VAR,then draw a conclusion that the MC-GARCH-VAR is better than others.

关 键 词：风险价值 广义自回归条件异方差 蒙特卡罗模拟 

分 类 号：F830[经济管理—金融学]