摘要
巧妙利用数据破坏了超阀值的成串出现这个特点,又考虑到了每年股市波动程度的不同,使用复合超阀值分布Poisson-GP拟合了上证指数和深圳成指星期一到星期五的尾部分布.采用极大似然估计给出了模型的估计,利用估计结果给出了上证指数和深圳成指星期一到星期五的风险预测.
Compound threshold distribution Poisson-GP is applied to fit the tail distribution of the Shanghai Composite Index and Shenzhen Component Index from Monday to Friday by making good use of data to break up the string of overthreshold values and takeing into account the different fluctuations of the stock market each year.Max-Likelihood Estimation is employed to estimate the parameters of model,and Value-at-Risk of Shanghai Composite Index and Shenzhen Component Index from Monday to Friday is given by using the estimated results.
作者
李月鲜
王海龙
LI Yue-xian;WANG Hai-long(College of Science , Inner Mongolia Agricultural University , Hohhot 010020 ,China)
出处
《内蒙古大学学报（自然科学版）》
CAS
北大核心
2019年第3期240-246,共7页
Journal of Inner Mongolia University：Natural Science Edition
基金
内蒙古自治区留学回区人员创新启动项目(DC1900004065)
关键词
中国股市
VAR
复合超阀值分布
星期效应
Chinese stock market
VaR
compound threshold distribution
day-of-the-week effect
