证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2009年
4期
32~38
,共null页
国债市场 长记忆性 场内债券市场 银行间债券市场
國債市場 長記憶性 場內債券市場 銀行間債券市場
국채시장 장기억성 장내채권시장 은행간채권시장
T-Bond Market, Long-memory Properties, Floor Bond Market, Interbank Bond Market
本文从定量的角度考察了我国交易所国债市场和银行间国债市场的市场风险。首先考察了国债收益率的尖峰厚尾性、异方差性和平稳性；接着估计了在t分布和偏t分布下GARCH模型与HYGARCH模型，利用失败率检验与动态分位数测试检验了模型预测的VaR值的精确程度。实证结果表明，银行间国债市场波动的长记忆性大干交易所国债市场；当使用参数法估计VaR值时，波动率的长记忆性是重要的影响因素；偏t分布并没有较大改善交易所国债市场预测的VaR值的准确性，然而偏t分布下的HYGARCH模型却更适合我国银行间国债市场。
本文從定量的角度攷察瞭我國交易所國債市場和銀行間國債市場的市場風險。首先攷察瞭國債收益率的尖峰厚尾性、異方差性和平穩性；接著估計瞭在t分佈和偏t分佈下GARCH模型與HYGARCH模型，利用失敗率檢驗與動態分位數測試檢驗瞭模型預測的VaR值的精確程度。實證結果錶明，銀行間國債市場波動的長記憶性大榦交易所國債市場；噹使用參數法估計VaR值時，波動率的長記憶性是重要的影響因素；偏t分佈併沒有較大改善交易所國債市場預測的VaR值的準確性，然而偏t分佈下的HYGARCH模型卻更適閤我國銀行間國債市場。
본문종정량적각도고찰료아국교역소국채시장화은행간국채시장적시장풍험。수선고찰료국채수익솔적첨봉후미성、이방차성화평은성；접착고계료재t분포화편t분포하GARCH모형여HYGARCH모형，이용실패솔검험여동태분위수측시검험료모형예측적VaR치적정학정도。실증결과표명，은행간국채시장파동적장기억성대간교역소국채시장；당사용삼수법고계VaR치시，파동솔적장기억성시중요적영향인소；편t분포병몰유교대개선교역소국채시장예측적VaR치적준학성，연이편t분포하적HYGARCH모형각경괄합아국은행간국채시장。
This paper empirically studies the value-at-risk of the exchange government bond market and the Interbank government bond market in china. Firstly, We investigate the well-known fat-tail phenomenon and the properties of the heteroscedasticity and stability in the return series. Secondly, We estimate the value-at-risk using the GARCH model and the HYGARCH model with Student-t and skewed Student-t distribution and check the one-step-ahead forecasting VaR by employing failure rate test and dynamic quantile test. The empirical results show that the long-memory property of the Interbank government bond market is larger than the one in the exchange bond mark ; the long-memory properties of the volatility very important effect on calculating VaR by using the parameter method; we also get the result that HYGRACH with Student-t distribution performs no better for the exchange government bond market, But HYGARCH with skewed Student-t distribution model performs better for the Interbank government bond market.
