系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2015年
7期
1760~1769
,共null页
风险度量 股指期货 流动性调整的收益率 GARCH-VaR
風險度量 股指期貨 流動性調整的收益率 GARCH-VaR
풍험도량 고지기화 류동성조정적수익솔 GARCH-VaR
risk measurement;index futures;liquidity adjusted return;GARCH-VaR;
传统的VaR方法忽略了流动性风险, 而现有的文献大都采用将流动性风险与传统的市场风险直接相加的方式来度量总的风险, 忽略了市场风险与流动性风险带来的损失之间的相关性. 本文采用经流动性风险调整过的收益率结合GARCH-VaR方法来度量包含了市场风险与流动性风险的总体风险, 并运用沪深300股指期货市场的5分钟高频数据进行实证分析, 结果表明, 传统的VaR会明显低估风险, 而将流动性风险与市场风险相加的方式计算的VaR会高估风险.
傳統的VaR方法忽略瞭流動性風險, 而現有的文獻大都採用將流動性風險與傳統的市場風險直接相加的方式來度量總的風險, 忽略瞭市場風險與流動性風險帶來的損失之間的相關性. 本文採用經流動性風險調整過的收益率結閤GARCH-VaR方法來度量包含瞭市場風險與流動性風險的總體風險, 併運用滬深300股指期貨市場的5分鐘高頻數據進行實證分析, 結果錶明, 傳統的VaR會明顯低估風險, 而將流動性風險與市場風險相加的方式計算的VaR會高估風險.
전통적VaR방법홀략료류동성풍험, 이현유적문헌대도채용장류동성풍험여전통적시장풍험직접상가적방식래도량총적풍험, 홀략료시장풍험여류동성풍험대래적손실지간적상관성. 본문채용경류동성풍험조정과적수익솔결합GARCH-VaR방법래도량포함료시장풍험여류동성풍험적총체풍험, 병운용호심300고지기화시장적5분종고빈수거진행실증분석, 결과표명, 전통적VaR회명현저고풍험, 이장류동성풍험여시장풍험상가적방식계산적VaR회고고풍험.
Traditional Value at Risk （VaR） method ignores the liquidity risk, while the existing literature mostly add liquidity risk and market risk directly to measure the overall risk, which ignores the correlation between market risk and liquidity risk. This paper adopts the liquidity risk adjusted returns and GARCH-VaR method to measure the overall risk containing market risk and liquidity risk, and using five minutes high-frequency data of Hushen 300 stock index futures market for empirical analysis. The results show that the risks in Hushen 300 stock index futures market are underestimated by traditional VaR significantly and overestimated by simply adding liquidity risk and market risk together as overall risk.
