Bootstrap方法在证券投资基金风险测量中的应用.pdfVIP

27 3 Vo l. 27, N o13 20 10 3 Sta tist ical R esearch M ar. 20 10 Bootstrap * : Bootstrap, Bootstrap GARCH , , , 2 : ; Bootstrap; : C812 : A : 1002- 4565( 20 10) 03- 0066- 04 App licat ion of Bootstr ap M eth od in R isk M easur em en t Th e C ase of th e C h in ese Secur it ies Investm en t Fund s L i Jin ang W ang R enzeng Ab str ac t Bootstrap m ethod w ill large ly mi prove the accuracy o r isk m easurem ent, wh ich b e u sed to calcu late the va lue at risk o secur ities invesmt ent unds. The application o the Bootstrap m ethod w ith GARCH2based risk m easurem ent m ode,l not on ly con siders the undps data au to2 corre lation and the tmi e2var iable variance character istic, but a lso very w ell smi u late the distribution o the residua l. The theoretical ana lysis and emp irical ana lysis indicate that th is lexib le param eter2 nonparametr ic m ixed risk m easurement mode l can mi prove estmi ation prec ision o VaR. K ey w ord s Secur ities Investm ent Fund; Bootstrap; Va lue at R isk 一引言 二模型的构建 , , 3: 2009 2 2, 25 49 , Bootstrap 42 1 , , , , Bootstrap, , , , () , , B