首都师范大学学报（自然科学版）2026，Vol.47Issue(3)：74-79,6.DOI:10.19789/j.1004-9398.2026.03.006
基于正态逆高斯分布的VaR计算方法
VaR calculation method based on normal inverse Gaussian distribution
摘要
Abstract
The normal inverse Gaussian distribution can accurately describe the distribution of financial asset returns.Firstly,introduce the normal inverse Gaussian distribution and its parameter estimation methods.Secondly,provide two methods for calculating VaR values under the normal inverse Gaussian distribution.Then,the empirical analysis of the Shanghai Stock Exchange internet financial index is carried out,and the VaR value under the normal inverse Gaussian distribution is calculated and compared with the VaR value under the normal distribution.Finally,conduct a Kupiac failure frequency test to determine the reasonableness of the calculation.Empirical analysis shows that the normal inverse Gaussian distribution can reflect the peak and fat tail characteristics of the distribution of financial asset returns,and the calculation of VaR values at high confidence levels is more accurate than the normal distribution.Using the normal inverse Gaussian distribution for financial data analysis can effectively avoid underestimating financial risks.关键词
正态逆高斯分布/尖峰厚尾/风险价值/Kupiec失败频率检验Key words
normal inverse Gaussian distribution/peak thick tail/VaR/Kupiec failure frequency check分类
管理科学引用本文复制引用
刘龙,任芳玲..基于正态逆高斯分布的VaR计算方法[J].首都师范大学学报（自然科学版）,2026,47(3):74-79,6.基金项目
陕西省大学生创新创业训练计划项目(S202410719092) （S202410719092）
延安大学教学改革研究项目(YDJGZD23-05) （YDJGZD23-05）
