股市风险VaR与ES的动态度量与分析  

Measuring VaR and ES of Stock Market

作　　者：陈学华[1] 杨辉耀[1] 

机构地区：[1]广州大学数量经济学研究所,广东广州510405

出　　处：《系统工程》2004年第1期84-90,共7页Systems Engineering

摘　　要：首先描述金融时间序列的一般特性,从收益率的波动性与分布两方面进行考虑,建立起计算时变风险值VaR和ES的模型,并在多种分布情形下动态测算上证综合指数的风险,结果表明基于GED分布的VaR模型能够较好地刻画高频时间序列的尖峰肥尾性及杠杆效应等特性,而ES模型则有效地弥补了VaR模型的不足之处。We analyze the characteristics about financial time series and then setup a VaR estimation model and an ES estimation model for market risk based on the consideration of volatility and distribution of the returns ratios. We use this model to measure the VaR of Shanghai stock market under different distributions assumption, the result shows that the VaR model can give better estimation when fat-tailed densities are taken into account in the conditional variance and the ES model can be use to alleviate the problems inherent in VaR.

关 键 词：股票市场 收益率 波动性 GED分布 VAR 风险管理 自回归条件异方差模型 

分 类 号：F830.91[经济管理—金融学] O212.1[理学—概率论与数理统计]