系统管理学报2017，Vol.26Issue(2)：234-244,11.
基于TGARCHSK模型的外汇市场极端风险测度研究
Extreme Risk Measurement of Foreign Exchange Rate Market based on Time Varying High Order Moments
摘要
Abstract
Recently,more and more research begins to focus on the role of Skewness and Kurtosis in risk management.This paper extends the research of León (2005),and put forward a new time-varying higher moment volatility model,namely,Threshold Generalized Autoregressive Conditional Heteroskedastic,Skewness and Kurtosis model.Based on the constant higher moment volatility model and time-varying higher moment volatility model,we study the ES measurement of the international foreign exchange market.The study shows:(1) similar to Harvey (1999),when incorporating the conditional skewness and Kurtosis into the modeling framework,the fluctuation range of conditional variance become smaller;(2) the accuracy of time-varying higher order moments volatility model is significantly better than the constant higher moments volatility model on the measurement of ES;(3) the accuracy of risk measurement of each model is obviously different in different positions;(4) combining all the facts,TGARCHSK model can be used as a relatively rational choice for estimating the ES of the international foreign exchange market.关键词
金融风险测度/预期损失/国际外汇市场/后验分析Key words
financial risk measure/excepted shortfall (ES)/international foreign exchange market/backtesting分类
管理科学引用本文复制引用
吕永健,王鹏,胡颖毅..基于TGARCHSK模型的外汇市场极端风险测度研究[J].系统管理学报,2017,26(2):234-244,11.基金项目
国家社会科学基金重大项目(13&ZD030) （13&ZD030）
国家自然科学基金面上项目(71473200) （71473200）
国家自然科学基金资助项目(71101119) （71101119）
西南财经大学和四川省教育厅创新团队建设项目(JBK130401) （JBK130401）
中央高校基本科研业务费专项资金资助项目(JBK1507085) （JBK1507085）
