中证银行指数和它的十大权重股溢出效应研究  

Research on Risk Spillover Effects Between China Securities Bank Index and Its Ten Weighted Stocks

作　　者：李月鲜[1] 刘媛媛[1] 高莲[1] LI Yue-xian;LIU Yuan-yuan;GAO Lian(College of Sciences,Inner Mongolia Agricultural University,Huhhot 010020,China)

机构地区：[1]内蒙古农业大学理学院,内蒙古呼和浩特010020

出　　处：《数学的实践与认识》2020年第24期45-54,共10页Mathematics in Practice and Theory

基　　金：内蒙古自治区留学回区人员创新启动项目(DC1900004065)。

摘　　要：伴随着世界金融危机的频频爆发,预测金融系统风险就成为学者和机构的重要研究课题.选用了经典的AR(1)-GARCH(1,1)模型拟合了边缘分布.接着,利用GO-GARCH模型来刻画了银行和金融系统的相依结构,最终预测了十大权重股对金融系统的风险贡献.With the frequent outbreak of the world financial crisis,the prediction of financial system risks has become an important research topic for scholars and institutions.In this paper,the classical AR(1)-GARCH(1,1)model is used to fit the marginal distribution.Then,the GO-GARCH model is used to describe the dependent structure of China Securities Bank Index and its ten weighted stocks,and finally predicted the risk contribution of the top ten weighting stocks to the financial system.

关 键 词：AR(1)-GARCH(1 1)模型 VAR CoVaR GO-GARCH 系统重要性银行 

分 类 号：F832.51[经济管理—金融学]