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针对金融资产收益率序列的尖峰厚尾和结构变换特征,用SWARCH-GED模型拟合收益率序列,然后以标准残差序列为媒介与极值理论有机结合起来组建基于SWARCH-GED-EVT的动态VaR模型,最后对模型的精度和有效性进行验证。研究表明,SWARCH-GED-EVT模型能够有效识别上证综指的尖峰厚尾和结构变换特征,并且能精确有效地测度上证综指收益风险,尤其随着置信水平的提高效果更明显。
According to the characteristics of peak-fat tail and structure transformation of financial assets yield series, the SWARCH-GED model is used to fit the yield series, and then the standard residual sequence is used as the medium to combine extreme value theory to build the dynamic based on SWARCH-GED-EVT VaR model, and finally verify the accuracy and validity of the model. The research shows that the SWARCH-GED-EVT model can effectively identify the peak-tail and the structural transformation of the Shanghai Composite Index and can accurately and effectively measure the return risk of the Shanghai Composite Index, especially as the confidence level increases.