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本文基于VaR—GARCH模度量国债期货的风险值,首先对本文用到的模型做了一个简单介绍;接着以我国5年期国债期货为例,对其收益率序列进行实证分析,运用VaR—GARCH模型估计出5年期国债期货各交易日的VaR值;最后将模型中得出的VaR值与国债期货收盘价变动的时间序列进行比较傲,得出VaR值不仅能够很好的拟合其风险,还能估计出其风险损失的最大波动范围。
Based on the VaR-GARCH modal risk value of Treasury bond futures, this paper makes a brief introduction of the model used in this paper. Then, taking China’s 5-year Treasury futures as an example, this paper makes an empirical analysis of the yield series. By using VaR-GARCH The model estimates the VaR value of the 5-year Treasury bond futures on each trading day; Finally, we compare the VaR value obtained in the model with the time series of the closing price of the Treasury bond futures, and conclude that the VaR value can not only fit the risk well , But also to estimate the maximum range of risk losses.