摘要
提出了加入基差项的GARCHSK模型研究了基差对现货收益高阶矩的动态影响,并将该模型应用于提高对现货VaR的度量精度.对股指期货和现货市场的实证研究表明,基差对股指现货收益的条件均值、波动率和偏度均存在显著影响,考虑基差对高阶矩影响后的模型可以提高对股指现货市场风险度量的精确度.
This paper introduced the spot-future spread into GARCHSK model to investigate its impacts on the high-order moments of spot returns. Then the model is used to enhance the measurement precision of VaR in spot markets. The empirical results from stock index spot and futures markets show that spot-future spreads have significantly impacts on the conditional mean, variance and skewness. After considering the impacts on high-order moments, the model can enhance the precision of the risk measurement of spot markets.
出处
《系统工程学报》
CSCD
北大核心
2010年第2期222-227,共6页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70771076)
国家杰出青年基金资助项目(702250-02)
