非对称结构下金融市场动态风险测度研究

发布时间：2019-04-11 13:18

【摘要】：针对金融市场呈现出的非对称结构,以新兴市场的中国大陆沪市上证综指(SSEC)和成熟市场的标准普尔指数(SP500)作为代表性的研究对象,运用有偏学生分布(SKST)来刻画金融收益的有偏非对称分布形态;运用APARCH等模型来刻画金融收益条件波动率的非对称波动性,并以此来开展风险测度研究;最后运用返回测试中LRT和DQR来检验风险测度的准确性。实证结果表明:没有哪种金融收益的条件非对称波动模型具有绝对优越的风险测度能力;在标准收益服从的分布上,新兴市场SSEC与成熟市场SP500市场却又表现出明显的不同,Normal分布并不适合SSEC,但能适合SP500;ST能够适应SSEC,却不能适应SP500,而SKST能够适应两种市场;对于SP500,在99%这样高的置信水平下是Normal优越,而在95%的置信水平下却是SKST优秀,对于SSEC,SKST分布的准确性在两个水平下都是最高。
[Abstract]:In view of the asymmetric structure of the financial market, the standard & Poor's index (SP500) of the Shanghai Shanghai Stock Exchange (SSEC) and the mature market in the emerging market is used as a representative research object. The asymmetric distribution of financial income is characterized by the distribution of partial students (SKST), and the asymmetric volatility of the volatility of the financial income is characterized by using the model of APARCH and the like, and the risk measure research is carried out. Finally, the accuracy of the risk measure is verified by using the LRT and DQR in the return test. The empirical results show that the non-symmetrical fluctuation model with no financial gain has the absolute superior risk measure ability; in the distribution of the standard yield, the emerging market SSEC and the mature market SP500 market show obvious difference, and the normal distribution is not suitable for the SSEC, but it can be suitable for SP500; ST is able to adapt to SSEC, but not to SP500, and SKST is able to adapt to both markets; for SP500, it is normal at a confidence level of 99%, while SKST is excellent at 95% confidence, and for SSEC, the accuracy of the SKST distribution is the highest at both levels.
【作者单位】：成都理工大学商学院;西南交通大学经济管理学院;成都理工大学管理科学学院;
【基金】：国家自然科学基金项目(707710977107113171171025) 教育部新世纪优秀人才支持计划(NCET-08-0826);教育部社会科学研究青年项目(10YJCZH086) 成都理工大学优秀创新团队培育计划(2010TD01);成都理工大学中青年骨干教师培养计划(2011-013)
【分类号】：F830.91;F224

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