基于VaR-GARCH模型族的 我国黄金期货风险度量研究
首发时间:2011-05-25
摘要:金融时间序列具有分布的尖峰厚尾、波动的集聚性等特点,考虑到GED分布适合刻画资产收益的厚尾分布以及GARCH族模型能够动态描述收益率特征等方面,本文以黄金期货合约为研究对象,在正态分布、t分布和GED分布条件下,建立了VaR-GARCH族模型计算动态的方差,定量研究我国黄金期货市场风险。结果表明,在广义误差分布条件下的VaR-EGARCH模型能够更好地度量市场风险,可用于对我国刚刚开展的黄金期货交易进行风险预测。
关键词: 黄金期货 VaR-GARCH族模型 广义误差分布 市场风险
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A Study of the value of gold futures risk based on VaR-GARCH family model
Abstract:The distribution of financial time series has the characteristic of fat tails, volatility clustering and some other characteristics. In line with GED distribution is suited to describe asset returns with fat tails, and the merit of GARCH family model describing the yield behavior with dynamic characteristics, we get VaR measure methods using GARCH and EGARCH models, which based on the GED distribution. Using the Shanghai gold futures daily closing price to analyze and calculate the daily market risk VaR. The results show that the value risk of EGARCH-GED model can better describe the market risk of gold futures market, and that can be used for risk prediction of our newly launched gold futures market.
Keywords: gold futures VaR-GARCH family model GED distribution market risk
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