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| 平稳序列BMM模型与沪深股市极端风险研究 | |
| 引用本文： | 花拥军,高远东,张宗益. 平稳序列BMM模型与沪深股市极端风险研究[J]. 数学的实践与认识, 2011, 41(18) |
| 作者姓名： | 花拥军 高远东 张宗益 |
| 作者单位： | 1. 重庆大学贸易与行政学院,重庆,400030 2. 西南大学经济管理学院,重庆,400715 3. 重庆大学经济与工商管理学院,重庆,400030 |
| 基金项目： | 教育部人文社会科学研究西部和边疆地区规划基金项目:涨跌停板及其在我国股票市场有效性研究(10XJA630003,2010.5-2013.5); 中央高校基本科研业务费项目:涨跌停板对我国股市极端风险的影响分析(CDJSK100204,2010.7-2012.7) |
| 摘 要： | 基于VaR理论正态分布假设导致的尾部风险低估问题,研究了GEV分布下的BMM模型及区间关联下的极值VaR的建模,并实证分析了沪深股市极端风险.研究结果表明:BMM模型对金融风险的厚尾具有更合理的理论基础.然而,涨跌停板极大地抑制了沪深股市极值数据的异质性,形成"极值不极"现象,导致在较高置信度下BMM模型更为有效,而在较低置信度下反而存在低估问题,有效性尚不及VaR模型. |
| 关 键 词： | BMM模型 极值 GEV分布 VaR |
The Research of BMM Model for Stationary Sequence and Extreme Risk of Shenzhen and Shanghai Stock |
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| HUA Yong-jun,GAO Yuan-dong,ZHANG Zong-yi. The Research of BMM Model for Stationary Sequence and Extreme Risk of Shenzhen and Shanghai Stock[J]. Mathematics in Practice and Theory, 2011, 41(18) | |
| Authors: | HUA Yong-jun GAO Yuan-dong ZHANG Zong-yi |
| Affiliation: | HUA Yong-jun~1,GAO Yuan-dong~2,ZHANG Zong-yi~3 (1.College of Trade and Public Administration,Chongqing University,Chongqing 400030,China) (2.College of Economics and Management,Southwest University,Chongqing 400715,China) (3.College of Economics and Business Administration,China) |
| Abstract: | To revise the shortage of model VaR under the assumption the sequence is normal distribution,this paper employs BMM model to estimate extreme risk,and develops the formula for calculating Extreme-VaR,based on which the extreme risk in Shanghai and Shenzhen stock market is explored.The results show that BMM model is more effective than VaR model to study sequences with fat tail.However,the raising limit restrains the heterogeneity of extreme values,which result in underestimation for BMM model under the cond... |
| Keywords: | BMM model extreme value GEV distribution value-at-risk |
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