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中国管理科学

中国管理科学 ›› 2009, Vol. 17 ›› Issue (6): 17-24.

• 论文 • 上一篇    下一篇

基于Skew-t-FIAPARCH的金融市场动态风险VaR测度研究

林宇1, 卫贵武2, 魏宇3, 谭斌4   

  1. 1. 成都理工大学商学院, 四川 成都 610059;
    2. 重庆文理学院经济与管理学院, 重庆永川 402160;
    3. 西南交通大学经济管理学院, 四川 成都 610031;
    4. 西华师范大学计算机学院, 四川 南充 637002
  • 收稿日期:2009-03-17 修回日期:2009-11-02 出版日期:2009-12-30 发布日期:2009-12-30
  • 作者简介:林宇(1973- ), 男(汉族), 四川仪陇人, 成都理工大学商学院, 讲师, 博士, 研究方向:金融风险管理、金融市场与公司理财.
  • 基金资助:

    国家自然科学基金资助项目(70501025, 70771097);教育部新世纪优秀人才支持计划(NCET-08-0826)

Study on Dynamic Risk Measure of Financial Markets Based on Skew-t-FIAPARCH Model

LIN Yu1, WEI Gui-wu2, WEI Yu3, TAN Bin4   

  1. 1. Business School, Chengdu University of Technology, Chengdu 610059, China;
    2. Department of economics and Management, Chongqing University of Arts and Sciences, Chongqing 402160, China;
    3. School of Economics and Management Southwest Jiao-tong University, Chengdu 610031, China;
    4. Computer School, China West Normal Vniversity, Nanchong Sichuan, 637002, China
  • Received:2009-03-17 Revised:2009-11-02 Online:2009-12-30 Published:2009-12-30

PDF (PC)

1697

被引次数

85

摘要： 本文引入FIAPARCH模型刻画金融价格条件波动率特征,引入有偏学生t分布捕获收益率有偏特征,并以此来测度金融市场动态风险VaR;进而运用返回测试和动态分位数回归方法对风险测度模型准确性进行实证检验.结果表明,RiskMetrics和GARCH-N测度金融市场的风险的可靠性差;有偏学生t分布比正态分布、学生t分布更能准确反应金融收益分布实际特征,具有更高的风险测度能力;FIAPARCH-SKST展示出比其它模型具有绝对优越的风险测度效果.

关键词: 金融市场, 典型事实, 有偏分布, FIAPARCH, 动态VaR测度

Abstract: This paper Appies FIAPARCH and skew student t distribution to capture conditional volatility and skew distribution in financial return respectively, then measures dynamic Value at Risk(VaR), and uses Back-testing and Dynamic Quantile Regression(DQR) to test accuracies of different risk models.Our results indicate that RiskMetrics model and GARCH-Normal model can not measure dynamic financial markets risk accurately;skew student t distribution is a more fit distribution of financial conditional return than standard student t distribution and standard Normal distribution;and, AR-FIAPARCH-SKST model is the best risk measurement model among all models studied in this paper.

Key words: financial market, stylized facts, FIAPARCH, skew distribution, dynamic VaR measure

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