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上证指数收益率的经验分布具有尖峰厚尾特征,本文以广义t-分布假设下的GJR模型为基础,测量了上证指数收益率波动性的杠杆效应,并根据GJR模型应用MonteCarlo模拟方法,测定上证指数日收益率和持有期收益率的风险价值(VaR)。结果表明用GJR模型比均值-方差模型和历史模拟方法计算的5%显著性水平VaR值更接近实际收益率。
Based on the GJR model under the generalized t-distribution hypothesis, this paper measures the leverage effect on the volatility of the yield of Shanghai Stock Index, and uses the Monte Carlo simulation method based on the GJR model to determine the Shanghai Stock Exchange Index VaR and HOLD VaR. The results show that the 5% significance level VaR calculated by the GJR model is more similar to the actual rate of return than the mean-variance model and the historical simulation method.