基于时间序列模型下的条件风险价值的研究.pdf

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1、©aÒ:—?:UDC:?Ò:ÆØ©ÄužmS.e^‡ºxdŠïÄ™•“6¶:•W£BǤàó’ŒÆžÆ?O:a¬Æ‰!;’¶¡:A^êÆØ©Jžm:2011c11Ø©‰Fžm:2011c12Æǃü:àó’ŒÆ‰F”¬ÌR:µ<:2011c12DissertationSubmittedtoHebeiUniversityofTechnologyforTheMasterDegreeofScienceinAppliedMathematicsTHESTUDYOFCONDITIONALVALUEATRISKBASEDONTI

2、MESERIESMODELSbyYangNanSupervisor:Prof.ChenShuangDecember2011àó’ŒÆa¬ÆØ©ÄužmS.e^‡ºxdŠïÄÁ‡©ÏLéþy•êFéêÂÃÇSVaRÚCVaROŽ,'n«ØÓ©Ù:©Ù,t©ÙÚGED©Ù,±9ØÓþŠ•§ÚØÓÅÄÇ•§©OéVaRÚCVaROŽŠK•,(JL²GED©Ùe.[Ü•Ð,OŽVaRÚCVaRŠÐ;ÙgEGARCH.eOŽVaRÚCVaRŠ‡`uGARCH.e(J;2gØÓþŠ•§éVaRÚCVaRŠ

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4、^GARCHx.OŽVaRÚCVaRž,̇'5´^‡•,þŠ•§K•é.©1oÜ©é®kGARCH-M.‰?˜ÚU?,òžCCVaRÚGARCH.¥,íÑGARCH-M-CVaR.,¿‰ÑT.ëêO•{Ú¢y

5、.ÏLéIS¦•ê¢y©ÛÑ(Ø:±CVaRŠ•žCºx‘ž,ºxÝþ(J'•½.'…i:ÂéÙCVaRVaRGARCH.EGARCH.GARCH-Mx.GARCH-M-CVaR.iÄužmS.e^‡ºxdŠïÄTHESTUDYOFCONDIT

6、IONALVALUEATRISKBASEDONTIMESERIESMODELSABSTRACTThispaperrespectivelycomparestheimpactsofcalculatingVaRandCVaRofdaylogarithmrateofreturnofShanghaicompositeindex,basedonthreedierentdistributions:normaldistribution,tdistributionandGEDdistribution,anddier-entmeanequationsanddier

7、entvolatilityequations.TheresultsshowthatbasedontheGEDdistributionmodelfitbest,thecalculationofVaRandCVaRarebet-ter;secondly,thecalculationofVaRandCVaRbasedonEGARCHmodelaresu-periortotheresultsofGARCHmodel;Thirdly,dierentequationsforcalculationsofVaRandCVaRarenotsignificantlyd

8、ierent.ThereasonisthatusingGARCHfamilymodelstocalculateVaRandCVaRisconcerntheconditionalvariance,themeanequationhaslittleeect.ThefourthpartinthispapergivesGARCH-Mmodelafurtherimprovement.Thispaperwillputthetime-varyingCVaRintoGARCHmodeltoderivetheGARCH-M-CVaRmodel,andgivesth

9、eestimationmethodofthemodelandempiricalsupport.Throughempiricalanalysisofdo-mesticandinternationalstockindex,weconcludethat,CVaRasatime-varyingriskitem,theresultsofriskmeasurementismorestable.KEYWORDS:ReturnDistribution,CVaR,VaR,GARCHModel,EGARCHModel,GARCH-MFamilyModel,GARC

10、H-M-CVaRModeliiàó’ŒÆa¬ÆØ©8¹¥©Á‡...........................................