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已有成果在研究杠杆效应时大多数都是基于ARCH类模型,从波动率的角度进行分析的。本文应用分位点回归模型以及含有虚拟变量的分位点回归模型分析了“已实现”波动率条件下的CVaR,并尝试从市场风险的角度对杠杆效应进行分析。最后,对中国股票市场进行了实证研究,得到了“已实现”波动率条件下的CVaR估计,并从风险的角度证实了中国股市的市场风险存在杠杆效应。
Existing Results Most of the studies on the leverage effect are based on ARCH models and are analyzed from the perspective of volatility. In this paper, we use the quantile regression model and the quantile regression model with dummy variables to analyze the CVaR under “realized ” volatility and try to analyze the leverage effect from the perspective of market risk. Finally, empirical research is conducted on the Chinese stock market, and the CVaR estimation under the “realized” volatility is obtained. From the perspective of risk, it is confirmed that the market risk in China’s stock market is leveraged.