摘要
金融市场中,资产价格的不确定性一直是被关注和研究的重点。本文建立价格极差-交易量-GARCH改进模型,对我国股票市场收益率的波动情况进行分析;在风险层面,以BDSS模型为基础,引入换手率构建变现时间作为内生风险的衡量指标,建立流动性调整的VaR拓展模型,在组合改进模型下对股票市场的风险进行精准刻画。研究表明:改进后的GARCH模型能够改善收益率的波动拟合情况,提高风险度量效果,为政府机构及个体投资者增加对股票市场的认识、提升决策水平具有重要参考。
In the financial market, the uncertainty of asset prices has always been the focus of attention and research. This paper analyzes the fluctuation of the stock market’s return rate by establishing the price difference-trading volume-GARCH improved model. On the risk level, based on the BDSS model, the turnover rate was introduced to construct the liquidation time as a measure of endogenous risk to establish a VaR expansion model of liquidity adjustment, and the risks of the stock market were accurately depicted under the portfolio improvement model. The results show that the improved GARCH model can improve the volatility fitting of the yield and improve the risk measurement effect, which provides an important reference for the government, institutions and individual investors to increase their understanding of the stock market and improve their decision-making level.
出处
《价格理论与实践》
北大核心
2020年第4期88-91,共4页
Price:Theory & Practice
基金
国家自然科学基金项目(11671115)
杭州电子科技大学研究生核心课程建设项目(HXKC2017017)
杭州电子科技大学研究生科研创新基金(CXJJ2019017)。
