China Securities Hedge Portfolio Returns Fitting Based on Asymmetric GARCH Model

摘要：

In this paper, Asymmetric GARCH model such as TARCH, EGARCH, PARCH, respectively assume that the residuals obey a normal distribution, Student t distribution, the generalized error distribution, and fit the returns volatility sequence of conditional probability distribution of the five different styles of investment portfolio and stock index futures. The results showed that different investment styles portfolio return series applies to the corresponding GARCH model, the VaR calculation and the formation of hedge portfolio should be contingent in selecting the appropriate GARCH model.

关键词： residual distribution non-symmetric GARCH model investment style

作者: WANG Zhouwei WU Zhanxia

作者单位: Finance College, Shanghai Normal University, P.R.China, 200234 Accounting School, Shanghai Institute of Foreign Trade, P.R.China, 201620

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 150-155

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）