基于SVt-POT模型的上证指数动态VaR测度  

The Dynamic VaR Measurement of Shanghai Composite Index Based on SVt-POT Model

作　　者：林海清 许健森 李城恩 施建华 LIN Haiqing;XU Jiansen;LI Chengen;SHI Jianhua(School of Mathematics and Statistics,Minnan Normal University,Zhangzhou,Fujian 363000,China)

机构地区：[1]闽南师范大学数学与统计学院

出　　处：《闽南师范大学学报（自然科学版）》2019年第2期115-123,共9页Journal of Minnan Normal University：Natural Science

基　　金：福建省自然科学基金资助项目(2016J01026);数字福建气象大数据研究所、数据科学与统计重点实验室、福建省中青年教师教育科研项目(JAT170339,JAT170340)

摘　　要：如何合理地选取阙值是金融风险测度理论和估计建模的热点前沿问题,阈值选择的合适与否会直接影响模型的拟合效果,进而影响到金融风险测度的精确程度.传统的阙值选取方法是以主观判断为基础,本文则创新性地在SVt-POT模型的阈值选择的问题中,采用基于变点分析的Hill估计方法定量选择阈值,通过SVt-POT模型来描述金融风险测度.进一步,本文以中国股市近30年的上证综指收盘价数据为研究对象,共有6806个观察样本进行实证模拟.结果表明:基于变点分析的Hill估计方法比传统的方法选择的阈值更合适,该模型可以有效地描述上证指数日收益率的波动特征并计算出动态的风险值,这为股市投资者提供了规避风险的策略选择,在一定程度上具有应用价值.How to reasonably select the devaluation is the hot topic of financial risk measurement theory and estimation modeling. The appropriate choice of threshold value will directly affect the fitting effect of the model, and thus affect the accuracy of financial risk measurement.The traditional method of devaluation selection is based on subjective judgment. In this paper, the threshold selection method of SVt-POT model is innovatively used. The Hill estimation method based on change point analysis is used to quantitatively select thresholds, which are described by SVt-POT model. Financial risk measurement. Further, this paper takes the data of the closing price of the Shanghai Composite Index in the Chinese stock market for nearly 30 years as the research object, and a total of 6806 observation samples are used for empirical simulation.The results show that the Hill estimation method based on the change point analysis is more suitable than the threshold of the traditional method selection. The model can effectively describe the fluctuation characteristics of the daily yield of the Shanghai Stock Index and calculate the dynamic risk value. This provides the stock market investors with The choice of strategies to avoid risks has application value to a certain extent.

关 键 词：Hill估计 SVt模型 VAR 

分 类 号：O211.5[理学—概率论与数理统计] F830.91[理学—数学]