摘要
本文根据“已实现”波动率的性质用ARF IM A模型对其进行模拟,并在此基础上研究了V aR,发现在学生T分布和GED分布下有比较好的预测效果.
In this paper ,we build an ARFIMA model to simulate realized volatility based on its characters. And we study the Value-at-Risk based on realized volatility. We find there is a better forecasting effect under the sttudents＇ T distribution and Generalized error distribution.
出处
《经济数学》
2006年第3期325-328,共4页
Journal of Quantitative Economics
基金
国家社科基金(No.03BJY099)
湖南省社科基金(No.04ZC029)资助项目
湖南省哲学社会科学成果评审委员会课题(No.0403035)
关键词
“已实现”波动率
ARFIMA模型
VAR
Realized volatility, autoregression fractional integrated moving average model, Value-at-Risk
