VaR模型在人民币汇率风险度量中的应用  

Application of the VaR Model in the Measurement of RMB Exchange Rate Risk

作　　者：魏金明[1] 陈敏[2] 

机构地区：[1]西安交通大学经济与金融学院,中国西安710061 [2]山东理工大学经济学院,中国淄博255049

出　　处：《上海商学院学报》2009年第4期90-93,共4页Business Economic Review

基　　金：山东省社科规划研究项目"金融结构变迁中的区域金融安全网"(项目编号:05JDK32)阶段性成果

摘　　要：本文首先从VaR模型的假设前提入手,通过对人民币汇率收益率序列的随机性、正态性和异方差性的综合检验,验证了VaR模型在人民币汇率风险度量中的适用性。随后,分别采用非参数法和参数法两大类共九种VaR方法对人民币汇率风险进行实证度量。最后,通过准确性检验发现,GARCH-t模型是度量当前人民币汇率风险的最优方法。In this paper, we, to begin with, analyzed the applicable assumption of VaR model. By the random test, normal test and heteroscedasticity test of the return series of RMB exchange rate, we proved that VaR model is suitable to measure the risk of RMB exchange rate. Then we used 9 VaR approaches which belong to the nonparametric methods or the parametric methods to estimate VaR, respectively. Finally, we found that GARCH-t model performed best in measuring the risk of present RMB exchange rate according to the accuracy test.

关 键 词：人民币汇率风险 VAR模型 度量方法 非参数法 参数法 

分 类 号：F224[经济管理—国民经济] F832.6