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本文首先介绍了VAR,然后选择2006年1月9日到2011年11月9日的上证指数为研究对象,对这些指数的涨跌幅度进行了基本的统计分析,发现上证指数的涨跌幅度具有尖峰厚尾性、ARCH效应,所以可以对上证指数序列使用GARCH族模型。最后,使用GARCH模型在正态分布下来计算上证指数的VAR值,作了初步的模型和结果分析。
This article first introduces the VAR and then selects the Shanghai Stock Index from January 9, 2006 to November 9, 2011 as the research object. The basic statistical analysis of the change of these indices shows that the ups and downs of the Shanghai Composite Index have Peak-tail, ARCH effect, so you can use the GARCH family of models for the Shanghai Composite Index. Finally, using the GARCH model to calculate the VAR of the Shanghai Composite Index under the normal distribution, the preliminary model and result analysis are given.