非对称GARCH模型在VaR预测上的应用  

Application of Asymmetric-GARCH Model for Risk Measure of Stock Market

作　　者：韩铁[1] 张世英[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《沈阳理工大学学报》2006年第5期91-94,共4页Journal of Shenyang Ligong University

摘　　要：基本统计分析发现,上证综合指数回报率分布存在高峰厚尾性,不服从正态分布,并且还具有杠杆效应.本文应用非对称APARCH模型在四种分布(正态分布、T分布、GED分布和SKST分布)假设下对上证综合指数通过事后模拟和条件单步预测来计算上证综合指数的VaR风险值,然后把它与GARCH模型的估计结果进行比较分析.通过返回检验,发现APARCH应用于VaR估计是统计有效的,并且明显优于GARCH模型.Preliminary data analysis shows that the return rates distribution of SSE is fat - tailed and does not obey normal distribution and there is leverage effect in Shanghai Stock market. In this paper, we propose an APARCH model with four different distributions （ Normal, T, GED, SKST） assumption to estimate conditional VaR. This model is then compared with the GARCH model under the corresponding four distributions assumption. Using back-testing of historical daily return series we show that the＂ APARCH model yields statistically valid VaR measures and gives better one - day ahead estimation that of the GARCH model.

关 键 词：APARCH 有偏学生分布 广义误差分布 在险价值 

分 类 号：F830[经济管理—金融学]