本文選題：鐵礦石價(jià)格　切入點(diǎn)：GARCH族模型　出處：《統(tǒng)計(jì)與決策》2015年15期

【摘要】：文章應(yīng)用GARCH族模型對(duì)鐵礦石價(jià)格的波動(dòng)特征進(jìn)行實(shí)證研究,結(jié)果發(fā)現(xiàn):鐵礦石價(jià)格波動(dòng)存在明顯的聚集性和長(zhǎng)期記憶性;鐵礦石市場(chǎng)不存在"高風(fēng)險(xiǎn)、高回報(bào)"的特征,但卻存在非對(duì)稱效應(yīng),利空消息對(duì)鐵礦石價(jià)格波動(dòng)的影響要略大于利好消息。構(gòu)建Va R-GARCH族模型對(duì)鐵礦石市場(chǎng)的風(fēng)險(xiǎn)價(jià)值Va R進(jìn)行測(cè)算,通過(guò)與實(shí)際損失的比較,發(fā)現(xiàn)基于t分布的Va R-GARCH(1,1)模型能夠更好地刻畫鐵礦石市場(chǎng)的風(fēng)險(xiǎn)。
[Abstract]:This paper makes an empirical study on the volatility characteristics of iron ore price by using GARCH family model. The results show that the volatility of iron ore price has obvious agglomeration and long-term memory, and the iron ore market does not have the characteristics of "high risk and high return". But there is asymmetric effect, and the bad news has a little more influence on the iron ore price fluctuation than the good news. The V a R-GARCH family model is constructed to calculate the risk value of the iron ore market via the comparison with the actual loss. It is found that the V-a-R-GARCH1) model based on t distribution can better depict the risk of iron ore market.
【作者單位】： 清華大學(xué)公共管理學(xué)院;
【分類號(hào)】：F764;F224

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本文編號(hào)：1696479