基于非对称Laplace分布的GARCH模型探讨我国证券市场风险  

Research on the Stock Market Risk of China Based on the Asymmetric Laplace Distribution of the GARCH Model

作　　者：葛敏霞[1] 郑列[1] 

机构地区：[1]湖北工业大学理学院,湖北武汉430068

出　　处：《特区经济》2016年第3期73-75,共3页Special Zone Economy

基　　金：教育部人文社科青年基金项目(13YJC790105);湖北省教育厅人文社科青年基金(No.2012G078)

摘　　要：文章以GARCH模型为理论基础,在95%的置信水平下,对比收益率的分布不同,分别求出我国四种主要股票指数的各时期的风险值,非对称Laplace分布合适地描述金融数据的尖峰、厚尾和有偏的特征,最后对于模型的有效性,选用Kupiec方法对模型进行检测,表明收益率分布采用非对称Laplace分布从而有助于提高对股票指数的风险度量的准确性。The GARCH model is treated as the theoretical foundations of the thesis. Under the confidence level of 95%,by contrasting the yield distribution and solving the value at risk（Va R） of China＇s four major stock index,the asymmetric laplace distribution properly be described the characteristics of the financial data, which is peak, thick and biased.Ultimately,employing the Kupiec to test the model, the research shows that based on the asymmetric laplace distribution,the GARCH model can estimate and predict the stock market risk fairly.

关 键 词：GARCH模型 非对称LAPLACE分布 Kupiec检验 

分 类 号：F832.51[经济管理—金融学] F224