基于GARCH模型的企业汇率风险度量研究  

Exchange Risk Measurement of Enterprise Based on GARCH Model

作　　者：谢非[1] 刘林清[1] 

机构地区：[1]重庆理工大学经济与贸易学院,重庆400054

出　　处：《重庆理工大学学报（社会科学）》2014年第6期25-28,39,共5页Journal of Chongqing University of Technology（Social Science）

基　　金：国家社会科学基金项目"我国企业汇率风险承受能力及应急机制研究"(12HJY030)

摘　　要：运用极值理论和GARCH模型对企业的汇率风险进行研究,分析人民币对美元的统计分布特征,并对收益率的尾部进行建模,进而计算出VaR与CVaR值,返回检验证明该模型具有准确性与有效性。研究结果表明,该模型具有超越样本的估计能力,比传统工具更适合度量尾部分布下的金融时间序列。This paper used GARCH model and extreme value theory to research the exchange rate risk of enterprise. It analyzed the statistical distribution of income between RMB and U.S. dollar, and used extreme value theory to simulate the tail yields, then calculated the VaR and CVaR values. Return inspection proves the accuracy and effectiveness of the model. The results of the study show that the model has the ability to transcend sample estimates, and adapts to be better for financial time series in terms of thick tail distribution.

关 键 词：GARCH模型 极值理论 汇率风险 

分 类 号：F830[经济管理—金融学]