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由于在金融领域内,GARCH模型在金融时间序列波动率的模拟以及金融风险的度量中都有着相对广泛的应用。故而本文基于GARCH模型以正态分布的假定度量Va R值的精确程度,并且对Va R值进行失败率检测。结果表明,沪深300ETF基金具有尖峰厚尾特特征;利用EViews8.0对基金收益率序列进行相关性检验,发现其具有强相关性。通过GARCH模型消除相关性,对收益率建模,有效预测估计了基金的Va R值。
Since in the financial field, GARCH model has a relatively wide range of applications in the simulation of financial time series volatility and the measurement of financial risk. Therefore, based on the GARCH model, this paper measures the accuracy of VaR value with the assumption of normal distribution and tests the failure rate of VaR value. The results show that the CSI 300 ETF fund has the characteristic of peak and thick tail. Using EViews8.0 to test the correlation of the fund yield series, it is found that it has a strong correlation. By GARCH model to eliminate the correlation, the rate of return modeling, effective prediction of the VaR value of the fund.