基于HMM-GARCH模型的VaR方法及其在农业股市的应用.pdfVIP

Advances in Applied Mathematics 应用数学进展, 2017, 6(6), 768-780 Published Online September 2017 in Hans. /journal/aam /10.12677/aam.2017.66093 VaR Method Based on HMM-GARCH Model and Its Application in Agricultural Stock Market 1 2 1 Lanlan Rong , Shuang Chen , Ru Feng 1 School of Science, Hebei University of Technology, Tianjin 2 Department of Mathematics and Physics, Beijing Institute of Petrochemical Technology, Beijing th th th Received: Sep. 5 , 2017; accepted: Sep. 20 , 2017; published: Sep. 26 , 2017 Abstract In this paper, the HMM and GARCH models are used to establish the HMM-GARCH model to meas- ure the financial asset risk value (VaR) by using the advantage of the hidden Markov model in state division. First, the hidden Markov model of the financial asset return sequence is set up. The Baum-Welch algorithm is used to estimate the parameters of the model. Then, the Viterbi algo- rithm is used to estimate the corresponding hidden state sequence of the return sequence. Ac- cording to the hidden state sequence, the return sequence is classified in two categories. And the HMM-GARCH model is established to estimate VaR for each state sequence respectively. Finally, the Beidahuang stock (600598) data are analyzed by using the GARCH model, MRS-GARCH model and HMM-GARCH model respectively. The accuracy of the VaR is tested by Kupiec failure frequen- cy method. The results show that the HMM-GARCH model can better describe and predict the risk of the stock. Keywords HMM-GARCH Model, MRS-GARCH Model, VaR Method, Kupiec Failure Frequency Test 基于HMM-G