| 基于价格极差的GARCH模型 |
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| 引用本文： | 孙便霞,王明进.基于价格极差的GARCH模型[J].数理统计与管理,2013,32(2):259-267. |
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| 作者姓名： | 孙便霞 王明进 |
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| 作者单位： | 1. 上海期货交易所,上海,200122
2. 北京大学光华管理学院,北京,100871 |
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| 基金项目： | 国家自然科学基金项目(70671002)的资助 |
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| 摘 要： | 本文利用资产价格的极差序列,基于常规GARCH模型的框架,构造了一类关于波动率的新模型,即GARCH-R模型以及能够表达波动率变化非对称性特性的AGARCH-R模型。利用上证综合指数日收益率及相应的高频数据,通过比较不同模型对波动率以及VAR的预测效果,揭示了这种包含了极差信息的新的模型比传统的GARCH类模型的预测效果具有显著的优势。
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| 关 键 词： | 波动率 风险价值 极差 GARCH-R模型 |
A New Class GARCH Model based on Price Range |
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| SUN Bian-xia,WANG Ming-jin.A New Class GARCH Model based on Price Range[J].Application of Statistics and Management,2013,32(2):259-267. |
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| Authors: | SUN Bian-xia WANG Ming-jin |
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| Institution: | 2 ((1.Shanghai Futures Exchange,Shanghai 200122,China,2.Guanghua School of Management, Peking University,Beijng 100871,China) |
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| Abstract: | This paper puts forward a new class of GARCH model based on the range of asset price,i.e., a GARCH-R model and an AGARCH-R model which is expected to express the asymmetric properties of the volatility dynamics.Using the high frequency data of the Composite Index of Shanghai Stock Exchange,we compare the out-of-sample volatility and Value-at-Risk(VaR) forecasting performance of these new models with the traditional GARCH forms.Empirical results reveal that these new models embedded with price range can improve the forecasting performance significantly. |
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| Keywords: | volatility value-at-risk price range GARCH-R model |
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