北京理工大学学报：社会科学版
北京理工大學學報：社會科學版
북경리공대학학보：사회과학판
Journal of Beijing Institute of Technology（Social Sciences Edition)
2012年
4期
10~16
,共null页
EGARCH-EVT模型 蒙特卡洛模拟 Copula K-S检验
EGARCH-EVT模型 矇特卡洛模擬 Copula K-S檢驗
EGARCH-EVT모형 몽특잡락모의 Copula K-S검험
EGARCH-EVT model; monte carlo simulation; copula; kolmogorov-smirnov test
从原油现货市场收益率的特征分析人手，为了更好地描述原油现货市场收益率的尖峰厚尾、偏态和波动集聚等特征，运用EGARCH对条件波动率进行建模，进而运用极值理论对标准残差序列的尾部分布进行建模，刻画原油现货市场极值风险，同时结合Copula函数和MonteCarlo模拟技术来度量不同持有期相应的VaR值。实证结果表明：原油市场随着置信度的提高和持有期的延长，VaR的绝对值在增大。同时，回测检验结果表明基于EGARCH-EVT-tCopula的模型能够精确有效地度量原油现货市场极端风险。
從原油現貨市場收益率的特徵分析人手，為瞭更好地描述原油現貨市場收益率的尖峰厚尾、偏態和波動集聚等特徵，運用EGARCH對條件波動率進行建模，進而運用極值理論對標準殘差序列的尾部分佈進行建模，刻畫原油現貨市場極值風險，同時結閤Copula函數和MonteCarlo模擬技術來度量不同持有期相應的VaR值。實證結果錶明：原油市場隨著置信度的提高和持有期的延長，VaR的絕對值在增大。同時，迴測檢驗結果錶明基于EGARCH-EVT-tCopula的模型能夠精確有效地度量原油現貨市場極耑風險。
종원유현화시장수익솔적특정분석인수，위료경호지묘술원유현화시장수익솔적첨봉후미、편태화파동집취등특정，운용EGARCH대조건파동솔진행건모，진이운용겁치이론대표준잔차서렬적미부분포진행건모，각화원유현화시장겁치풍험，동시결합Copula함수화MonteCarlo모의기술래도량불동지유기상응적VaR치。실증결과표명：원유시장수착치신도적제고화지유기적연장，VaR적절대치재증대。동시，회측검험결과표명기우EGARCH-EVT-tCopula적모형능구정학유효지도량원유현화시장겁단풍험。
Based on the characteristics of the rates of return of crude oil spot market, and in order to accurately describe the characteristics of fat-tails, leptokurtosis, skewness and volatility, this paper used EGARCH model to conditional volatility, and then used extreme value theory model extreme tail of standard residuals to calculate the extreme risks of crude oil spot market. Copula function and Monte Carlo simulation method are used to measure the VaR from one day to one month. The empirical results show that for the crude oil spot market, with the increase of confidence and the extension of holding, the absolute value of the VaR increases. Moreover, the back testing results indicate that the extreme risk measurement is feasible and effective based on the EGARCH-EVT-t Copula model.
