机构地区: 广州大学
出 处: 《商业研究》 2004年第19期23-25,共3页
摘 要: 应用SV模型 (随机波动模型 )来度量中国股票市场的风险 ,并基于沪市的历史数据进行了实证检验。结果表明SV模型对中国股市风险的度量有着较好的效果 ,明显优于GARCH模型 。 This paper proposes a stochasitc model to estimate the VaR of Shanghai 180 index. It is compared with GARCH models based on normal distribution. With the dynamic back-testing of historical daily return series,it can be found stochastic volatility model obviously outperforms GARCH models in forecasting one-day ahead VaR,and stochastic model is more suitable in measuring the risks of China's financial market.
领 域: [经济管理]