统计研究 ›› 2003, Vol. 20 ›› Issue (6): 58-4.

• 论文 • 上一篇    下一篇

中国证券市场股价指数VaR研究

彭寿康   

  1. 杭州商学院
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2003-06-15 发布日期:2003-06-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2003-06-15 Published:2003-06-15

关键词: 股价指数, VaR, 加权正态模型, Logistic分布模型

Abstract: This paper compares the models in Predicting the VaR of stock price indexes in China. Our resultsindicate that the normal model usually underestimate the VaR when given probability is 0.01 or 0.02, andthe weighted normal model usually overestimate the VaR when given probability is 0.04 or 0.05. Thehistorical simulating model and Logistic distribution model are superior to normal model and to weightednomal model in predicting the VaR.