基于面板GARCH模型的汇率风险联动VaR测算  

The Simultaneous VaR Calculation of Exchange Rate Risk Based on Panel-GARCH Model

作　　者：刘用明[1] 贺薇[1] 

机构地区：[1]四川大学经济学院,四川成都610064

出　　处：《经济经纬》2011年第3期137-141,共5页Economic Survey

摘　　要：为弥补现有VaR测算模型在同时测算多汇率风险因子VaR值过程中的不足,笔者将面板GARCH模型应用于汇率风险的VaR测算中,通过与一元GARCH模型、多元GARCH模型中的BEKK模型和DCC模型相对比,发现其联动VaR测算的结果优于后三种模型。基于残差项正态分布假设下的面板GARCH模型能够较好地捕获汇率的波动,其运用能提高VaR测算的精度,增强金融机构或企业的汇率风险管理水平。To make up for the defect of the existing VaR calculation model in the process of calculating the VaR value of multiple exchange rate risk factor,the authors applied the Panel-GARCH model to the measurement of the VaR of exchange rate risk.When the Panel-GARCH model is compared with the univariate GARCH model,BEKK model and DCC model in the multivariate GARCH model,the authors found that the result of simultaneous VaR calculation is better than the other three models.The panel GARCH model based on the assumption of the residual normal distribution can better capture exchange rate fluctuations,and its application can enhance the accuracy of VaR estimate and interest rate risk management of financial institutions or enterprises.

关 键 词：面板数据 GARCH模型 VAR 汇率风险 

分 类 号：F830.91[经济管理—金融学]