哈尔滨商业大学学报（自然科学版）2013，Vol.29Issue(4)：499-504,6.
基于条件极值模型的上证综指尾部风险研究
Tail risk research for Shanghai composite index based on conditional extreme value model
摘要
Abstract
Based on traditional ARMA-GARCH time series models,conditional extreme value theory(EVT) model were introduced and applied to do out of sample prediction and back testing about VaR and ES for Shanghai composite index.Research showed that ARMA -GARCH model with skewed t innovations,and conditional EVT models perform well for VaR and ES prediction.关键词
ARMA/GARCH/极值统计/VaR/ESKey words
ARMA / GARCH / extreme value theory / VaR / ES分类
管理科学引用本文复制引用
常昊,梁冯珍..基于条件极值模型的上证综指尾部风险研究[J].哈尔滨商业大学学报（自然科学版）,2013,29(4):499-504,6.
