| 沪深股市风险特征分析 |
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| 引用本文： | 虞康,尹清非.沪深股市风险特征分析[J].数学理论与应用,2007,27(2):15-18. |
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| 作者姓名： | 虞康 尹清非 |
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| 作者单位： | 中南大学数学科学与计算技术学院 长沙410075 |
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| 摘 要： | 本文运用ARMA-GARCH-M计量经济学模型,以及国际上通行的风险评价指标VAR,通过计算沪深两市的VAR值,比较两市的整体投资风险,以及各自的风险特点,并对模型的有效性进行了Kupiec检验,为投资者控制市场风险提供参考.
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| 关 键 词： | 收益率 VAR ARMA-GARCH-M Kupiec检验 |
| 修稿时间： | 2007-01-16 |
The Analysis of Risk Characteristic in Shanghai and Shenzheng Stock Market |
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| Yu Kang, Ying Qingfei.The Analysis of Risk Characteristic in Shanghai and Shenzheng Stock Market[J].Mathematical Theory and Applications,2007,27(2):15-18. |
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| Authors: | Yu Kang Ying Qingfei |
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| Institution: | Central South University, Mathematic, Changsha, 410075 |
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| Abstract: | In this paper we use the ARMA-GARCH-M econometric model to calculate the value of VAR.Then we compare the risk between the shanghai and shen zheng stock market.The result are:(1)The risk in Shenzheng stock market is larger than shanghai stock market.(2)The ARMA-GARCH-M model is valid to chinese stock market both in Shanghai and Shenzheng stock market. |
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| Keywords: | Rate of return Value at Risk VRMA-GARCH-M model Test of Kupiec |
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