摘要
本文通过ARMA-GARCH波动方程量化互联网金融市场和传统金融市场的系统性风险。采用风险价值法,计算其VaR和ES值。对比结果显示互联网金融市场的VaR和ES较高,可能存在更高的系统性风险。两个指数均选取2015-7-28至2018-11-1的交易日收盘价,共计796个样本。
This paper quantifies the systemic risk of Internet financial market and traditional financial market by ARMA-GARCH volatility equation. The VaR and ES values were calculated by using the risk value method. The results show that the VaR and ES of Internet financial markets are higher, and there may be higher systemic risk. Both indexes selected a total of 796 samples for the 2015-7-28 to 2018-11-1 closing price.
作者
肖琦
邵荣侠
Qi Xiao;Rongxia Shao(School of Applied Mathematics, Xinjiang University of Finance and Economics, Urumqi Xinjiang)
出处
《应用数学进展》
2019年第1期88-95,共8页
Advances in Applied Mathematics
