重庆理工大学学报（自然科学版）2017，Vol.31Issue(5)：180-185,6.DOI:10.3969/j.issn.1674-8425(z).2017.05.030
基于已实现NGARCH模型的上证50指数的风险度量
Measure of Risk for SSE 50 Index Based on Realized NGARCH Model
摘要
Abstract
We constructs a new realized NGARCH model by introducing perturbation of leveraged parameter in the volatility equations of the realized GARCH model, which is based on the leverage effect of volatility described by the NGARCH model.Further, we analyze the dynamic VaR estimation problem of the new model.Empirical analysis about the high-frequency data of Shanghai Stock Exchange 50 index shows that the new model is more suitable than the realized GARCH model in describing the leverage effect of volatility.By using our new model, we can improve the prediction accuracy of measure of risk in a certain extent.关键词
金融高频数据/杠杆效应/已实现NGARCH/风险度量/Kupiec失败率检验Key words
high-frequency financial data/leverage effect/realized NGARCH/measure of risk/Kupiec proportion of failures test分类
数理科学引用本文复制引用
魏正元,罗云峰,余德英,王爱法..基于已实现NGARCH模型的上证50指数的风险度量[J].重庆理工大学学报（自然科学版）,2017,31(5):180-185,6.基金项目
国家统计局统计科研重点项目(2014Z25) （2014Z25）
重庆市教委科学技术研究项目(KJ1500925,KJ1600930) （KJ1500925,KJ1600930）
重庆理工大学研究生创新基金资助项目(YCX2015228) （YCX2015228）
