利率调整条件下高频金融时间序列的风险度量  

Risk Measurement of High-frequency Financial Time Sequences under Interest Rate Adjustment

作　　者：武东[1] 李琼[2] 

机构地区：[1]安徽农业大学理学院,安徽合肥230036 [2]徽商职业学院电子信息系,安徽合肥230022

出　　处：《商学研究》2017年第6期102-105,共4页Commercial Science Research

基　　金：安徽高校自然科学研究重点项目(KJ2017A892);国家自然科学基金项目(11401056)

摘　　要：建议了基于广义误差分布的APARCH模型。利用直方图和时序趋势图发现沪深300指数每五分钟的收益率序列具有尖峰厚尾和波动聚集等特征。运用基于广义误差分布的APARCH模型对沪深300指数每5分钟的收益率序列进行了波动性分析,并建立了风险度量模型。最后由Kupiec似然比检验表明,得出基于广义误差分布的APARCH模型对风险值计算较为精确。The APARCH model is proposed based on generalized error distribution. By using histogram and sequential trend chart, we find out that the yield sequence of CSI 300 index at 5 - minute intervals featured with high peaks ＆ heavy tails and volatility clustering. The paper makes a volatility analysis of the yield sequence of CSI 300 index at 5 - minute intervals based on APARCH model and constructs a risk measurement model which was later proven by the Kupiec likelihood ratio test a precise model of value - at - risk calculation.

关 键 词：利率调整 高频时间序列 广义误差分布 APARCH模型 VAR 

分 类 号：F830[经济管理—金融学]