参数法和非参数法VaR模型在股市风险中的比较研究——基于沪深300指数的实证研究  

A comparative study on the application of parametric and non-parametric VaR models in stock market risk——Empirical Study Based on Shanghai-Shenzhen 300 Index

作　　者：岳昊敏 孙英隽[1] YUE Haomin;SUN Yingjun(School of Management,University of Shanghai for Science and Technology,Shanghai 200093,China)

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《智能计算机与应用》2020年第10期141-144,共4页Intelligent Computer and Applications

基　　金：2019年度上海市社科规划一般课题(2019BJB009);上海市高原学科建设项目。

摘　　要：VaR作为风险度量运用最广泛的工具,测度方法也越来越得到投资者重视。在各种对于VaR的测度方法的概念与原理之上,基于多种不同的假设进行实证分析。研究得出,滑动窗口为250的加权历史模拟法在1%的置信度下,以及基于正态分布的NGARCH模型在5%的置信区间下,可以很好的对VaR进行测度。最后通过GARCH模型与EVT模型及蒙特卡洛模型的结合,提出了关于计算未来VaR新的度量方法,给予风险管理者更加直观的投资意见。For risk measurement,as the most practical tool and its measurement method,VaR has been paid more and more attention by investors,recently. Based on a variety of different assumptions,empirical analysis concluded that the weighted historical simulation method with sliding window of 250 can measure VaR well at 1% confidence level and the NGARCH model based on normal distribution at 5% confidence level. Finally,through the combination of GARCH model,EVT model and Monte Carlo model,this paper puts forward a new measurement method for future VaR and gives risk managers more intuitive investment advice.

关 键 词：加权历史模拟法 NGARCH模型 EVT模型 蒙特卡洛模型 

分 类 号：F832.5[经济管理—金融学]