﻿ 基于复合分位数回归的股市风险研究

# 基于复合分位数回归的股市风险研究The Research of Credit Risk of Corporate Bonds Based on Composite Quantile Regression

Abstract:
In this paper, we establish the model, which changed the variance equation of the GARCH model with logarithmic transformation, to estimate the volatility of credit spread of corporate Bonds. It can ensure the independent identical distribution of model error. Also, the volatility is not negative after the logarithmic inverse transform. Owing to the asymmetry of model error, we use composite quantile regression, which is a more robust method, to estimate the modified GARCH model. The empirical analysis shows that the estimation of volatility is more effective with the modified model. Composite quantile regression is a very robust estimation method, and it is more effective to overcome the non-normality of the model error.

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