统计与决策2026，Vol.42Issue(9)：49-55,7.DOI:10.13546/j.cnki.tjyjc.2026.09.008
基于次分数跳跃扩散过程的VaR估计模型
A VaR Estimation Model Based on Sub-fractional Jump Diffusion Process
摘要
Abstract
In order to accurately and reasonably measure financial risks,the paper considers the fractal characteristics of the financial market and the jump changes in financial asset prices to construct a multi-asset VaR estimation model based on sub-fractional jump diffusion process,derives the analytical expression of VaR,and then discusses the properties of VaR in the cases of a single asset and multiple assets following the same jump distribution.Finally,taking three foreign exchange assets in the foreign exchange market from 2018 to 2024 as empirical research objects,the paper tests the rationality and validity of the theoret-ical model.The results show that the constructed model has improved the estimation performance of VaR.The relevant models and results can provide decision-making reference for investors,financial institutions and regulatory authorities.关键词
VaR/分形特征/次分数布朗运动/Hurst指数Key words
VaR/fractal characteristic/sub-fractional Brownian motion/Hurst index分类
管理科学引用本文复制引用
李建辉..基于次分数跳跃扩散过程的VaR估计模型[J].统计与决策,2026,42(9):49-55,7.基金项目
国家自然科学基金资助项目(12171391) （12171391）
陕西省自然科学基础研究计划项目(2024JC-YBMS-064) （2024JC-YBMS-064）
