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Comparative study of VaR based on CARR and GARCH model
Pages: 567-572
Year: Issue:  5
Journal: Journal of Southwest University for Nationalities(Natrual Science Edition)

Keyword:  VaRCARR模型GARCH模型;
Abstract: 研究了在一般情形下和极端风险下的风险度量,分别采用基于极差、收益率为变量建模的CARR模型、GARCH模型应用于VaR的计算,结合深证成指的实际数据进行实证分析,分别对比在不同分布下GARCH模型和CARR模型计算出的VaR,最终得出基于在广义伽马分布下CARR模型算出的VaR值,能更加真实地反映深证股市极端情形下风险程度,而基于T分布下的GARCH模型更加真实地反映深证股市一般情形下的风险程度.
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