我国证券市场波动风险预警模型研究  

Research on Volatility Risk Warning Model of China's Securities Market

作　　者：佘镜怀[1] 生蕾[2] 

机构地区：[1]首都经济贸易大学,北京100070 [2]北京青年政治学院,北京100102

出　　处：《金融理论与实践》2017年第12期37-42,共6页Financial Theory and Practice

基　　金：国家社科基金项目(14BGL214);2017年北京市教委科研计划重点项目(SZ20171162630)

摘　　要：通过对我国证券市场波动性进行线性和非线性的分析,证实了我国证券市场具有聚集效应、时变性和持续性等波动性特征。反映出我国证券市场具有明显的ARCH效应,结合动态风险预警方法,应用GARCH类模型构建VaR我国证券市场的风险预警模型。通过检验,证实了该风险预警模型适用我国证券市场波动风险预警。By making linear and non-linear analysis on securities market volatility in China, the paper proved that the securities market in China had some volatility features including aggregation effects,time-variant and continuance. The securities market had an obvious ARCH effect. The author built a Va R risk warning model for securities market in China by combining dynamic risk warning method and using GARCH class model. According to the test, the author proved that this risk warning model was fit for securities market's volatility risk warning in China.

关 键 词：证券市场 EGARCH-M-GED VaR风险预警模型 

分 类 号：F830.91[经济管理—金融学]