| 摘要: |
| 针对金融市场复杂性及不确定性，为了更灵活地测度金融市场的波动风险，提出了一类半参数CAViaR模型，利用傅立叶级数拟合前一期信息对当前VaR风险值的非线性影响，选择合适的先验分布，基于非对称Laplace分布构建了相应的似然函数，推导了参数的后验分布，从而实现了对CAViaR模型的贝叶斯推断；最后利用贝叶斯CAViaR模型研究了上海综合指数的风险波动特征，结果发现上证综指的风险波动存在自回归性. |
| 关键词: 贝叶斯分析 傅立叶级数 半参数方法 CAViaR模型 |
| DOI： |
| 分类号: |
| 基金项目: |
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| Bayesian Analysis of Semi parametric CAViaR Model Based on Fourier Series |
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ZENG Hui fang1， XIONG Pei gen2
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| Abstract: |
| According to the complexity and uncertainty in financial market，in order to more flexibly measure the volatility risk of financial market，this paper presents a class of semi parametric CAViaR model by using the non linear influence of former term fitting information of Fourier series on current VaR risk value to select suitable priori distribution，the related likelihood function is constructed based on asymmetric Laplace distribution，the posterior distribution of the parameters is deduced，and thus，the Bayesian deduction for CAViaR model is implemented.Finally，the feature of the risk volatility of Shanghai Composite Index is studied based on Bayesian CAViaR model and its results show the risk volatility of Shanghai Composite Index has auto regression. |
| Key words: Bayesian analysis Fourier series semi parametric method CAViaR model |
