所属单位：数学与统计学院
教研室：统计教研室
发表刊物：Agro food industry Hi-Tech
项目来源：其他课题
关键字：Robust asymmetric;GARCH model;Chinese stock market
摘要：Some properties of a robust asymmetric GARCH model and its application in evaluating risks in the Chinese stock market are investigated in this paper.The main aim of the study is to effectively measure stock market risk to maintain the healthy development of the stock market by using the GARCH model.The GARCH and Value-at-Risk models are employed to assess and measure stock market risks,respectively.To promote the quality of parameter selection for the GARCH model,an improved genetic algorithm(GA) to estimate optimal parameters is proposed.Experimental results prove that our proposed GA-GARCH model can measure stock market risks with high accuracy.
合写作者：董小刚,董小刚
第一作者：李纯净
论文类型：期刊论文
卷号：v28
期号：n1
页面范围：1
ISSN号：1722-6996
是否译文：否
CN号：2035-4606
发表时间：2017-01-06