统计研究 ›› 2003, Vol. 20 ›› Issue (6): 58-4.
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彭寿康
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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.
彭寿康. 中国证券市场股价指数VaR研究[J]. 统计研究, 2003, 20(6): 58-4.
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https://tjyj.stats.gov.cn/CN/Y2003/V20/I6/58
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