基于分位点回归模型的条件VaR估计以及杠杆效应分析

统计研究 ›› 2010, Vol. 27 ›› Issue (9): 78-83.

基于分位点回归模型的条件VaR估计以及杠杆效应分析

叶五一缪柏其

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2010-09-15 发布日期:2010-09-15

Conditional VaR Estimation and Leverage Effect Analysis Based on Quantile Regression Model

Ye Wuyi & Miao Baiqi

Received:1900-01-01 Revised:1900-01-01 Online:2010-09-15 Published:2010-09-15

摘要/Abstract

摘要： 在文献中，分析杠杆效应时大多数都是基于ARCH类模型，本文应用分位点回归模型及其变点检测模型分析了“已实现”波动率条件下的CVaR，并尝试从CVaR的角度对杠杆效应进行分析。最后，对中国股票市场进行了实证研究，得到了“已实现”波动率条件下的CVaR估计，并对中国股市的杠杆效应进行了分析。

关键词: 分位点回归模型, “已实现”波动率, 条件VaR, 杠杆效应

Abstract: The leverage effect is often analyzed by ARCH type models in most articles. In This paper, the quantile regression model and the change-point model is used to estimate the CVaR, which is conditioned on the realized volatility. And the leverage effect is analyzed from a point of view of CVaR. At last, through the empirical analysis of stock market of China, we estimate the CVaR and analyze the leverage.

Key words: Quantile, Regression, Model, Realized, Volatility, Conditional, Value, at, Risk(VaR), Leverage, Effect

叶五一缪柏其. 基于分位点回归模型的条件VaR估计以及杠杆效应分析[J]. 统计研究, 2010, 27(9): 78-83.

Ye Wuyi &Miao Baiqi . Conditional VaR Estimation and Leverage Effect Analysis Based on Quantile Regression Model[J]. , 2010, 27(9): 78-83.

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