文章摘要
李孝华,宋敏.基于AEPD分布和ALD分布的VaR模型[J].数量经济技术经济研究,2013,30(1):135-149
基于AEPD分布和ALD分布的VaR模型
VaR Models Based on AEPD and ALD
  
DOI：
中文关键词: VaR  GARCH模型  AEPD分布  ALD分布  CAViaR模型
英文关键词: VaR  GARCH Models  AEPD  ALD  CAViaR Models
基金项目:
作者单位
李孝华 南开大学经济学院 
宋敏 南开大学经济学院 
中文摘要:
      本文以成熟市场和新兴市场的六个主要的市场指数为例，将更精确反映金融资产收益率典型事实的AEPD分布和ALD分布运用于股票市场VaR的度量。并与其它常见的非参、半参和参数法VaR模型进行全面比较。实证表明，对于参数法模型，误差项服从ALD分布和正态分布的GARCH族模型分别当且仅当在度量低分位数和高分位数水平下的VaR值时表现优异；而误差项服从AEPD分布的GARCH族模型在度量各种分位数水平下的VaR值时均取得不错的效果。另外对于CAViaR模型，它们在度量VaR时与参数法中表现最好的AR-GJR-GARCH-AEPD(ALD)两个模型效果相当。
英文摘要:
      The paper takes the six major market indices in mature markets and emerging markets for example, applying the Asymmetric Exponential Power Distribution (AEPD) and Asymmetric Laplace Distribution (ALD) which can more accurately reflect the stylized facts of the return on financial assets to measure Value at Risk (VaR) in the stock market. Then we compare these models with other common non-parametric, semi-parametric and parametric VaR models. The empirical results show that for the parametric models, the GARCH models which the error term obeys the ALD and normal distribution do well if and only if we measure low and high quantile VaR respectively. And the GARCH models which the error term obeys the AEPD perform well both in the high and low quantile VaR measure. In addition, for the CAViaR models, they are as good as the two best parametric models that are AR-GJR-GARCH-AEPD model and AR-GJR-GARCH-ALD model respectively.
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