交易制度对我国股市波动区制与VaR度量的影响  

The Impact of Trading System on Volatility Regime of the Stock Market and VaR Measure

作　　者：张显峰[1] 王晨[2] 孙叶萌[1] 

机构地区：[1]吉林大学,长春130012 [2]吉林银行,长春130033

出　　处：《工业技术经济》2011年第3期114-120,共7页Journal of Industrial Technological Economics

基　　金：吉林大学"985工程"项目;教育部人文社科重点研究基地重大项目(项目编号:07JJD790131;08JJD790153;2009JJD790015);国家社科基金重大项目(项目编号:10ZD&010)

摘　　要：本文通过对我国股票市场的实证研究,发现由于我国股市早期波幅较大且无涨跌停板限制的交易制度,SWARCH模型较马尔可夫区制转移方差模型对我国股票市场的波动区制有更好的描述;在考虑未来即将推出的融资融券交易制度下,马尔可夫区制转移方差模型对VaR有更好的度量。同时马尔可夫区制转移方差模型较SWARCH模型还有估计结果稳定和收敛快的优势。This paper finds that SWARCH model can describe the volatility regime of the stock market better than markov switching variance model through empirical research,because the volatility of earlier stock market is greater and there is no trading system to restrict the prices;Consider the margin trading system upcoming in the future,markov switching variance model has a better measurement on VaR.In the mean time,comparing with SWARCH model,the estimation results of markov switching variance model have the advantage of stable and fast convergence.

关 键 词：VAR 波动区制 MS方差模型 SWARCH模型 

分 类 号：F830[经济管理—金融学]