Research on volatility and VaR prediction of Shanghai and Shenzhen 300 index(沪深300指数波动率和VaR预测研究)
基于广义自回归得分（generalized autoregressive score，GAS）和已实现波动率异质自回归（heterogeneous autoregressive of realized volatility，HAR-RV）模型，引入投资者情绪因素，构建了HAR-RV GAS和HAR-RV-SENT GAS波动率模型，旨在预测沪深300指数波动率和风险价值（value at risk，VaR）度量。用自相关函数曲线和高级预测能力（superior predictive ability，SPA）检验方法，分别解析了模型样本内拟合和样本外波动率的预测能力。运用VaR预测序列图和平均分...
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| Format: | Article |
| Language: | zho |
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Zhejiang University Press
2022-01-01
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| Series: | Zhejiang Daxue xuebao. Lixue ban |
| Subjects: | |
| Online Access: | https://doi.org/10.3785/j.issn.1008-9497.2022.01.010 |