| GARCH模型在股票市场风险计量中的应用 |
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| 引用本文： | 刘慧媛,邹捷中.GARCH模型在股票市场风险计量中的应用[J].数学理论与应用,2006,26(2):91-93. |
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| 作者姓名： | 刘慧媛 邹捷中 |
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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： | 本文以上证综指的日收益率为研究对象,运用GARCH模型簇分析上海股市日收益率波动的条件异方差性,计算每天的V aR值.实证研究表明,GARCH模型的V aR计算方法对我国股市风险的管理有较好的效果.
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| 关 键 词： | VaR GARCH模型族 收益率 波动性 |
| 收稿时间： | 02 10 2006 12:00AM |
The Applicatiion of GARCH Moldel in computhing The VaR of Stock Junket |
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| Liu Huiyuan, Zou Jiezhong.The Applicatiion of GARCH Moldel in computhing The VaR of Stock Junket[J].Mathematical Theory and Applications,2006,26(2):91-93. |
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| Authors: | Liu Huiyuan Zou Jiezhong |
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| Institution: | School of Mathematic Science and Compute Technology,Central South University,Changsha,410075 |
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| Abstract: | This paper researches on the daily returns of Shanghai Stock Index,applies GARCH models to analyze conditional heteroskedasticity of the daily returns,and compute the daily VaRs.The results show the method of calculation VaR of GARCH model is effective in risk management of China's stock market. |
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| Keywords: | VaR GARCH models return volatility |
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