兰州大学机构库 >数学与统计学院
基于流动性指标的VaR及CVaR预测
Alternative TitleForecasting of VaR and CVaR based on a liquidity indicator
路岩岩
Thesis Advisor严定琪
2009-05-28
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
KeywordARCH族模型 VaR CVaR 流动性
Abstract我国目前金融市场正逐步对外开放,风险的测度也必然要与国际接轨。对VaR和CVaR的研究已成为金融风险测度领域的研究热点,但目前国内的相关研究还不够深入,特别是针对我国证券市场的实证分析有待进一步深化。通常VaR和波动率预测的是在对数的日收益率的基础上进行的,但这种指标没有考虑到流动性的影响,例如证券市场上较大的资金和换手率通常带来较大的波动,在本文中我们将流动性风险考虑在内,利用了一个新的指标:L',该指标可理解为一个交易日内对数的单位成交量所导致的最大价格变动率,并差分处理:L,利用这个指标研究了基于ARCH类模型的上海股市指数000001的波动性,进行了VaR,CvaR预测的有效性验证,发现有较好的效果。
Other AbstractChina is gradually opening up financial markets, the measure of risk must also align with the international community. the research of VaR and CVaR has become a hot spot in the field of measuring financial risk, but current research is not enough deep, especially for the Empirical Analysis of China's securities market. Usually forecasting Var and volatility is based on the logarithmic ratio of daily number, but the indicator does not take the impact of liquidity into account, for example, greater fund and volume usually indicate greater fluctuation .In this article we take liquidity risk into account by using a new indicator:L'.indicating the largest rate of price changes caused by unit volume in one day ,its logarithmic difference is L . Then we study ’s volatility based on arch-type models and the Shanghai Stock Market Index(000001) and have good results.
URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225142
Collection数学与统计学院
Recommended Citation
GB/T 7714
路岩岩. 基于流动性指标的VaR及CVaR预测[D]. 兰州. 兰州大学,2009.
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