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股价波动方式为布朗运动,对布朗运动做欧拉离散化模拟。采用蒙特卡洛方法进行上证指数的VaR分析,最后进行Kupiec回溯检验,发现与传统的正态分布假设及ARCH模型结果相比,基于布朗运动做欧拉离散化处理并采用蒙特卡洛方法进行模拟的VaR的效果更好,可以为股票市场的风险分析提供较为可靠的依据。
The stock price volatility is Brownian motion, Euler discretization simulation of Brownian motion. The Monte Carlo method is used to analyze the VaR of the Shanghai Composite Index. Finally, Kupiec backtracking is used to find that compared with the traditional normal distribution and the ARCH model, the Euler discretization based on the Brownian motion and the Monte Carlo simulation The effect of VaR is better, which can provide a more reliable basis for the risk analysis of the stock market.