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中国证券市场股价指数VaR研究
被引：16
作者：
彭寿康
机构：
[1] 杭州商学院金融系
来源：
关键词：
股价指数;
VaR;
加权正态模型;
Logistic分布模型;
D O I：
10.19343/j.cnki.11-1302/c.2003.06.015
中图分类号：
F830.9 [金融市场];
学科分类号：
1201 ;
020204 ;
摘要：
This paper compares the models in Predicting the VaR of stock price indexes in China. Our results indicate that the normal model usually underestimate the VaR when given probability is 0 01 or 0 02,and the weighted normal model usually overestimate the VaR when given probability is 0 04 or 0 05. The historical simulating model and Logistic distribution model are superior to normal model and to weighted nomal model in predicting the VaR.
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页码：58 / 61
页数：4
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