科技创业月刊
科技創業月刊
과기창업월간
PIONEERING WITH SCIENCE & TECHNOLOGY MONTHLY
2012年
1期
28-31
,共4页
GARCH类模型%上证指数%风险价值(VAR)%蒙特卡罗模拟
GARCH類模型%上證指數%風險價值(VAR)%矇特卡囉模擬
GARCH류모형%상증지수%풍험개치(VAR)%몽특잡라모의
GARCH model%shanghai composite index%value-at-risk%monte carlo simulation
风险管理、风险预测是金融市场最为热门的话题,而风险价值法是最受关注的风险管理方法。针对股票市场波动服从正态分布常规假设的不足和缺陷。选用能很好模拟股市尖峰厚尾特性的GARCH族模型,估计风险价值的主要参数;并选用蒙特卡罗模拟方法计算风险值,以具有股票市场综合特征的上证指数为样本数据进行实证研究,结果显示：该改进提高了蒙特卡罗模拟方法模拟结果的精确程度,使其预测结果更符和实际状况。
風險管理、風險預測是金融市場最為熱門的話題,而風險價值法是最受關註的風險管理方法。針對股票市場波動服從正態分佈常規假設的不足和缺陷。選用能很好模擬股市尖峰厚尾特性的GARCH族模型,估計風險價值的主要參數;併選用矇特卡囉模擬方法計算風險值,以具有股票市場綜閤特徵的上證指數為樣本數據進行實證研究,結果顯示：該改進提高瞭矇特卡囉模擬方法模擬結果的精確程度,使其預測結果更符和實際狀況。
풍험관리、풍험예측시금융시장최위열문적화제,이풍험개치법시최수관주적풍험관리방법。침대고표시장파동복종정태분포상규가설적불족화결함。선용능흔호모의고시첨봉후미특성적GARCH족모형,고계풍험개치적주요삼수;병선용몽특잡라모의방법계산풍험치,이구유고표시장종합특정적상증지수위양본수거진행실증연구,결과현시：해개진제고료몽특잡라모의방법모의결과적정학정도,사기예측결과경부화실제상황。
Risk management and risk profile are the most popular topics in the financial market,and the value-at-risk method is the most concerned risk management method.In view of the deficiency and shortcoming of the conventional assumption that the Stock Market Volatility follows normal distribution,this article uses the GARCH model which can be used to simulate a fat tail of the stock market,and the main parameters are obtained in this paper.And the Monte Carlo Simulation Method is selected to estimate the Value-at-Risk,and the Shanghai Composite Index is taken as the sample data which can represent the national stock market volatility well.The empirical research result demonstrates that the innovative approach improves the Monte Carlo simulation results＇ accuracy,which makes the predicting outcomes more consistent with the actual situation.
