【摘要】 对由上证综合指数、深证成分指数、上证基金指数、上证国债指数计算的日自然对数收益率组成的数据矩阵,分别建立了残差服从正态分布、t分布的向量ARCH、向量GARCH、纯对角GARCH、BEKK、常条件相关GARCH、主成分GARCH和EWMA模型,基于这些模型,计算了风险价值(VaR),进而通过比较计算结果,得出BEKK—t模型测算中国金融市场投资组合的风险价值(VaR)效果最好等的结论.更多还原

【Abstract】 We established the Vector ARCH,Vector GARCH,Pure Diagonal GARCH, BEKK,Constant Condition Correlation GARCH,Principal Component GARCH and EWMA model of a vector which contained log profit of intra-daily close price on the Shanghai Stock, Fund,and Bond Market and the Shenzhen Stock Market with normal or t distribution,and then we calculate the VaR(value at risk) on these models and compared the results,we found that the BEKK with t distribution was the best one.更多还原