基于EGARCH模型和Bootstrap方法的在险价值度量

摘要

In the light of the deficiency of History Simulation Method and EGABCH Model, parametric model with Bootstrap nonparametric method and provides a semi-parametric measure perlcal study shows that the VaR measure method on the basis of EGARCH and Bootstrap Simulation Method. the paper combines EGARCH method of the asset VaR. Emis more effective than HistorySimulation Method.%针对孤立使用传统的历史模拟法及GARCH类模型进行风险分析的不足，把EGARCH参数模型与Boostrap非参数方法结合起来，给出了基于EGARCH模型和Bootstrap的VaR测度的半参敬方法。实证结果表明，基于EGARCH模型和Bootstrap的VaR度量方法比传统的历史模拟法计算的效果更好。