高阶矩波动性建模及应用  

Modeling and Application of Higher Moments Volatility

作　　者：许启发[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》2006年第12期135-145,共11页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金项目(70471050)。

摘　　要：为度量高阶矩风险的动态特征、考察时变高阶矩风险对金融投资决策的影响,本文提出了一个新的高阶矩波动模型NAGARCHSK-M模型。讨论了该模型的包容性,给出了关于高阶矩波动性建模的一整套建模技术,基于正态密度的Gram-Charlier展开给出了模型的参数估计方法。利用该模型对我国股市的高阶矩风险进行了动态描述,并讨论了时变方差风险、时变偏度风险和时变峰度风险对资产收益的影响。To measure the dynamic character of higher moments risk and investigate the impacts of the risk on financial investment decision, NAGARCHSK - M model, which is a new model and holds some other volatility models, is proposed in the paper. A set of technique about higher moments modeling are discussed in detail. Especially, the parameter estimation method is established on the Gram - Charlier series expansion of the normal density function. Finally, the model is applied in describing the dynamic higher moments risk in Chinese stock market, and the effects of time varying variance risk, skewness risk and kurtosis risk on return of asset are measured too.

关 键 词：高阶矩 NAGARCHSK-M模型 Gram-Charlier展开 时变风险 

分 类 号：F224.0[经济管理—国民经济]