【摘要】 利用TGARCH模型和VaR理论方法,对中证5G通信主题指数的波动性进行研究。实证分析发现5G通信指数存在着"反杠杆"效应,即利好的信息对股票有着积极的影响;通过计算不同分布、不同置信水平的VaR风险值,并结合Kupiec准确性检验,结果显示在置信水平为95%时,基于t分布下的TGARCH模型拟合效果最优。更多还原

【Abstract】 TGARCH model and VAR theory are used to study the volatility of the CSI 5 G communication subject index. Empirical analysis found that 5 G communication index has “leverage” effect, good information has a positive impact on stocks; By calculating VaR risk values with different distributions and different confidence levels, combined with Kupiec accuracy test, it is shown that at 95% confidence level, the fitting effect of TGARCH model based on t-distribution is the best.更多还原