2005年经济学年会大会论文投稿.docVIP

2005年中国经济学年会大会论文投稿 研究领域：金融学 应用Monte Carlo模拟法测定上证指的风险* 汪红驹 摘要：本文以模型为基础，应用Monte Carlo模拟方法，测定上的风险价值（VaR）结果表明用模型比均值-方差模型和历史模拟方法 关键词： 分布模型Monte Carlo模拟 中图分类号：F830.91 文献标识码：A Using GJR Model and Monte Carlo Simulation to Estimate the VaRs of the Composite Index of Shanghai Stock Exchange Wang Hongju ,Zhang Huilian Abstract：The daily rates of return from the Composite Index of Shanghai Stock Exchange have more leptokurtosis and fatter tails than are compatible with the normal distribution. Instead, the scaled t-distribution fits the data series quite well. The GJR model allowing fo