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基于Copula-ACD模具的股票包上涨与包跌进款比值风

作者:locoy 来源:原创 发布日期:2019-06-12

  第30卷第2期 体系工程即兴实与即兴实 Vbl.30.No.2

  2010年2月 SystemsEngineering—Theory&PracticeFeb.,2010

  文字编号:1000-6788(2010)02—0298-07中图分类号:F830.9 文件标注识表记标注帜码:A

  胡心瀚,叶五壹,缪柏其

  (中国迷信技术父亲学统计与金融系,合肥230026)

  摘要区别运用包罗“天数变量”的Log-ACD和Copula模具对股票的包上涨和包跌进款比值的边

  缘散布匹以及二者的结合散布匹终止了拟合,检验结实标注皓该模具拟合的效实要优于传统方法.对上证

  180指数数据做了实证切磋,并运用环境VaR对股票包上涨包跌进款比值终止风险剖析,实证结实证皓

  该模具的拟合结实与股市的还愿情景是相适合的.投资者却以依照模具得出产的“上涨跌风险对比图”

  剖析以后股票市场的上涨跌风险对比,从而指点投资行为.

  365体育上证180指数;Copula-ACD模具;环境VaR

  Risk of and stock based

  analysiscontinuouslyrisingfalling yield

  on method

  Copula-ACD

  HU Wu-yi,MIAO

  Xin-han,YE Bai-qi

  ofStatisticsand ofScienceand of

  Finance,UniversityTechnologyChina,Hefei

  (Department 230026,China)

  modelwhich the“numberof and modelare

  AbstractThe includes

  Log-ACD days"variableCopula

  used tofitthe and distributionof and stock

  respectivelymarginaljoint continuouslyrisingfalling yield.

  Theresultoftestshowsthatthismodelis betterthantraditionalmethods.Inthis

  comparatively paper.

  isusedfor andconditional眦isrisk

  stock180index for

  Shanghai empiricalanalysis computedanalysis.

  The result thatthismodeliSconsistenttoactualmarket.andinvestorcall of

  proves use‘'figure

  empirical

  of

  and risk'’to andestimatetheiraction

  risingfalling analyze investing.

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