GARCH模型在我国深市风险度量中的应用研究

Research of GARCH Model Applying to Measuring Risks in Chinese Stock Market

介绍了VaR的含义及计算方法,指出推测市场因子的波动率是计算的关键。从理论上对基于t分布和正态分布的GARCH模型进行了比较,得出基于t分布的GARCH模型更能刻画金融市场“尖峰厚尾”等实际特征。将基于不同分布的GARCH模型应用于我国深圳股市的风险度量,通过对比VaR的估计结果,说明基于t分布GARCH模型计算的VaR更有效地反映了金融市场的风险水平。

This paper reviewed the concept of VaR（ Value at Risk） and its calculating method, and pointed out that predicting the volatiedlity rate of market factors is the key to VaR. By comparing GARCH- t Model with GARCH- N Model, this paper considered that GARCH- t Model is superior for describing the characters of financial market. By comparing the results of applying different GARCH Model to VaR in Shenzhen Stock Market, it came to a conclusion that GARCH- t Model is more effective on VaR in the financial market.