基于流动性和波动性因素的CAViaR扩展模型及其在证券市场风险价值度量中的应用  

Extended CAViaR models based on liquidity and volatility and itsapplication in the measurement of value at risk of securities market

作　　者：杨晓蓉[1,2] 李路 张可欣 朱雯 YANG Xiao-rong;LI Lu;ZHANG Ke-xin;ZHU Wen(School of Statistics and Mathematics,Zheijiang Gongshang University,Hangzhou 310018,China;Collaborative Innovation Centre of Statistical Data,Engineering Technology and Application,Zheijiang Gongshang University,Hangzhou 310018,China)

机构地区：[1]浙江工商大学统计与数学学院,浙江杭州310018 [2]浙江工商大学统计数据工程技术与应用协同创新中心,浙江杭州310018

出　　处：《高校应用数学学报（A辑）》2023年第3期253-265,共13页Applied Mathematics A Journal of Chinese Universities(Ser.A)

基　　金：浙江省自然科学基金(LY22A010006);浙江省重点建设高校优势特色学科(浙江工商大学统计学);浙江工商大学统计数据工程技术与应用协同创新中心资助;浙江省属高校基本业务费专项基金。

摘　　要：CAViaR模型作为一种常见的条件自回归风险价值预测方法,被广泛应用于研究金融市场的风险价值.经典的CAViaR模型没有考虑到外生变量对风险价值的影响,而风险价值一般与市场的流动性和波动性有关,因此文中提出了考虑流动性和波动性因素的两类CAViaR扩展模型(CAViaR-LI和CAViaR-VI).另外,跨市场间的流动性和波动性往往也会对市场风险产生一定程度的影响.对此,该文进一步构建了跨市场的两类CAViaR扩展模型(CAViaR-MI-LI和CAViaR-MI-VI).文章对美国,日本,中国内地,中国香港四个证券市场展开了研究,分别选取了具有代表性的标普500指数(S&P),日经225指数(N225),沪深300指数(CSI)以及恒生指数(HSI).通过研究发现,CAViaR-LI和CAViaR-VI模型较经典的CAViaR模型在参数的显著性,击中比率,模型的有效性等指标上均表现更好.在跨市场的研究中,在经典的CAViaR模型中加入了反映标普500指数的流动性和波动性变量,研究其对中国内地,中国香港和日本的证券市场的风险价值的影响.结果显示,美国证券市场的波动性对其他三个证券市场的风险价值具有正相关,而其流动性对其他三个市场风险价值的影响需要依据具体的市场进行具体分析.文中提到的扩展模型和研究思路亦可推广到其他市场的风险价值度量研究中,具有一定的普适性.As a conditional autoregressive value at risk forecasting method,the CAViaR models have been widely applied to the study of value at risk in¯nancial markets.The classic CAViaR models do not consider the impact of exogenous variables on the value at risk,while the risk of the securities market is often related to the liquidity and volatility,so here we propose two types of expanded CAViaR models that incorporate liquidity and volatility factors(CAViaR-LI and CAViaR-VI).In addition,considering that the cross-market liquidity and volatility often have a certain degree of impact on market risk,we further construct two kinds of cross-market extended CAViaR models(CAViaR-MI-LI and CAViaR-MI-VI).In this paper,we select the representative S&P,N225,HSI and CSI to study the value at risk measurement of four important securities markets including the United States,Japan,Chinese mainland and Hongkong.It is found that compared with the classical CAViaR models,the expanded CAViaR models based on liquidity and volatility variables perform better in parameter signi¯cance,hit ratio,model effectiveness and some other indicators.In the cross-market study,we add the liquidity and volatility of S&P into the classic CAViaR models to study their impacts on the value at risk of Chinese mainland,Hongkong and Japan.The results show that the volatility of American securities market has a positive correlation with the value at risk of the other three markets,and the impacts of its liquidity on the value at risk of the other three markets need to be analyzed according to the speci¯c market.The extended models and the ideas mentioned in this paper can also be extended to the study of other market value at risk measurement,which has a certain universality.

关 键 词：风险价值 CAViaR扩展模型 流动性 波动性 

分 类 号：F830.91[经济管理—金融学]