建筑业上市公司财务风险度量研究——基于GARCH-MIDAS-VaR模型  

A Research on Measurement of Financial Risk of Listed Companies of Construction Industry Based on GARCH-MIDAS-VaR Model

作　　者：王文胜 包智瑜 WANG Wensheng;BAO Zhiyu(School of Economics,Hangzhou Dianzi University,Hangzhou Zhejiang 310018,China)

机构地区：[1]杭州电子科技大学经济学院,浙江杭州310018

出　　处：《杭州电子科技大学学报（社会科学版）》2023年第5期1-8,28,共9页Journal of Hangzhou Dianzi University：Social Sciences

基　　金：教育部人文社会科学研究规划基金项目(21YJA910005)。

摘　　要：针对金融数据存在的频率不一致问题,文章以建筑业上市公司季度财务数据及日度收益率为样本,引入广义自回归条件异方差混频数据抽样模型及不对称广义自回归条件异方差混频数据抽样模型,采用参数法计算在险价值指标,与样本公司实际损益率作对比,分析模型对最大损失的预测情况,进一步说明模型对建筑业上市公司财务风险的度量效果。实证研究表明,相比于传统的广义自回归条件异方差模型,广义自回归条件异方差混频数据抽样模型及不对称广义自回归条件异方差混频数据抽样模型能对样本公司的损益进行更有效的预测。基于此,在对上市公司财务风险进行度量研究时应充分考虑到数据的混频性质。In the face of the frequency inconsistency of financial data,this paper takes the quarterly financial data and daily rate of return of listed companies in the construction industry as samples,and the mixing model GARCH-MIDAS and the asymmetry GARCH-MIDAS model to calculates the VaR index using the parameter method,and compares it with the actual profit and loss rate of the sample companies,then analyzes the prediction of the model on the largest loss,and further explains the measurement effect of the model on the financial risk of listed companies.The empirical study shows that compared with the traditional GARCH model,the GARCH-MIDAS model considering the mixing characteristics can predict the profits and losses of the sample companies more effectively.Thus,when measuring the financial risk of listed companies,the mixing nature of data should be fully considered,and the GARCH-MIDAS model can be used to measure the financial risk of enterprises.

关 键 词：财务风险 在险价值 广义自回归条件异方差混频数据抽样模型 熵权法 

分 类 号：F830[经济管理—金融学] F275