CAJ | 학술논문

为弥补现有VaR测算模型在同时测算多汇率风险因子VaR值过程中的不足,笔者将面板GARCH模型应用于汇率风险的VaR测算中,通过与一元GARCH模型、多元GARCH模型中的BEKK模型和DCC模型相对比,发现其联动VaR测算的结果优于后三种模型。基于残差项正态分布假设下的面板GARCH模型能够较好地捕获汇率的波动,其运用能提高VaR测算的精度,增强金融机构或企业的汇率风险管理水平。
위미보현유VaR측산모형재동시측산다회솔풍험인자VaR치과정중적불족,필자장면판GARCH모형응용우회솔풍험적VaR측산중,통과여일원GARCH모형、다원GARCH모형중적BEKK모형화DCC모형상대비,발현기련동VaR측산적결과우우후삼충모형。기우잔차항정태분포가설하적면판GARCH모형능구교호지포획회솔적파동,기운용능제고VaR측산적정도,증강금융궤구혹기업적회솔풍험관리수평。
To make up for the defect of the existing VaR calculation model in the process of calculating the VaR value of multiple exchange rate risk factor,the authors applied the Panel-GARCH model to the measurement of the VaR of exchange rate risk.When the Panel-GARCH model is compared with the univariate GARCH model,BEKK model and DCC model in the multivariate GARCH model,the authors found that the result of simultaneous VaR calculation is better than the other three models.The panel GARCH model based on the assumption of the residual normal distribution can better capture exchange rate fluctuations,and its application can enhance the accuracy of VaR estimate and interest rate risk management of financial institutions or enterprises.