摘要
基于上证综合指数收益率序列,使用R语言软件对数据进行了描述性时序分析,通过单位根检验对收益率序列的平稳性进行检验,建立GARCH模型对收益率存在的风险进行度量,利用不同参数的GARCH-VaR模型对收益率序列的VaR进行预测.研究证明,GARCH-VaR能准确地描述资产收益率的变化,可为投资者提供有效的风险度量方法.
Based on the return rate series of Shanghai Composite Index,this paper uses R software to analyze the data,and tests the stability of the return rate series by unit root test.The GARCH model is established to measure the risk of the return rate,and the VaR of the return rate series is predicted by using the GARCH model with different parameters.It is proved that GARCH-VaR can accurately describe the change of asset return rate and provide an effective risk measurement method for investors.
作者
丁芳
DING Fang(School of Mathematics and Computer Science,Ningxia Normal University,Guyuan Ningxia 756099)
出处
《宁夏师范学院学报》
2023年第4期47-51,共5页
Journal of Ningxia Normal University
