【摘要】 针对风险价值VaR的一般参数方法都是对称的,其在处理非对称时间序列时存在着局限性,本文提出了非对称的VaR计算模型,并以上海证券市场为对象进行了实证研究,结果表明基于非对称的VaR计算模型优于对称的VaR计算模型。更多还原

【Abstract】 To the limitations of the general parameter approach VaRmodel while disposing the dissymmetrical time series which is symmetrical, we propose the VaR calculation model which based on GJR-GARCH. Finally, we have the experiential analysis in Shanghai stock market, and the result shows that the VaR model which is symmetry is better than which is dissymmetrical.更多还原