| 基于EWMA-VaR的企业整体现金流量预测模型 |
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| 引用本文： | 迟国泰,吴珊珊,许文.基于EWMA-VaR的企业整体现金流量预测模型[J].预测,2006,25(2):49-53. |
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| 作者姓名： | 迟国泰 吴珊珊 许文 |
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| 作者单位： | 大连理工大学,管理学院,辽宁,大连,116024 |
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| 基金项目： | 中国科学院资助项目;广东省博士启动基金 |
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| 摘 要： | 在指数平滑法和VaR方法基础上，以预测企业现金流量为目标，以现金流量波动为约束条件，建立基于EWMA-VaR的企业整体现金流量预测模型。本模型的特点一是对企业整体现金流量逐年进行预测。得出预测现金流量的均值，提高现金流量的预测精度。二是建立了企业整体现金流量风险约束条件，为企业财务风险规避提供依据。三是建立整体现金流量预测区间，使企业更好地做出财务决策。
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| 关 键 词： | 整体现金流量 现金流量预测 现金流量波动 VaR-GARCH模型 现金流量预测区间 |
| 文章编号： | 1003-5192（2006）02-0049-05 |
| 收稿时间： | 2005-02-11 |
| 修稿时间： | 2005-02-11 |
The Forecast Model of Total Cash Flow of Company Based on EWMA-VaR Method |
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| CHI Guo-tai,WU Shan-shan,XU Wen.The Forecast Model of Total Cash Flow of Company Based on EWMA-VaR Method[J].Forecasting,2006,25(2):49-53. |
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| Authors: | CHI Guo-tai WU Shan-shan XU Wen |
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| Institution: | School of Management, Dalian University of Technology, Dalian 116024, China |
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| Abstract: | Aiming at forecasting thc company total cash flow in the future and taking cash flow volatility as subjected condition, this paper set up the forecast model of company total cash flow based on EWMA - VaR method. One feature of this paper is to get the average cash flow in the future. It could improve forecasting precision of the cash flow. Furthermore, this paper sets up the subjected condition of fluctuation risk. It can forecast the risk caused by the fluctuation of cash flow and provide foundation of risk elusion, The third one is to set up the forecast interval of total cash flow, which could let the company make better financial decision. |
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| Keywords: | total cash flow cash flow forecast volatility of cash flow VaR-GARCH model forecast interval of total cash flow |
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