基于历史模拟法和GARCH模型的VaR比较  

The Comparison of VaR Based on the Historical Simulation Method and GARCH Model

作　　者：林晓梅[1] 

机构地区：[1]浙江工商大学金融学院,浙江杭州310035

出　　处：《科技情报开发与经济》2006年第21期148-149,共2页Sci-Tech Information Development & Economy

摘　　要：目前度量VaR的方法有很多种,且由不同方法计算出的VaR值往往相差很大,这使得风险管理者不知如何选择最佳模型。通过比较历史模拟法和GARCH模型下VaR值的特点和准确性程度,得出的结论是GARCH模型更具有优势。There are many different methods for measuring VaR currently, and the differences among the VaR values based on different models are very big, which makes the risk managers don＇t know how to choose the best model. Through comparing the features and accuracy degrees of the VaR value of the historical simulation method and GARCH model, this paper holds that the GARCH model has better advantages.

关 键 词：VAR 历史模拟法 GARCH模型 LR统计量 

分 类 号：F830.9[经济管理—金融学]