基于VAR方法的我国股市风险管理实证研究

The Positive Research on Stock Risks Management in China Based on VAR Method

基于我国风险管理的实际情况,介绍了风险价值(VAR)、GARCH模型及在其框架下计算波动率和估计分布临界值的过程和步骤,在此基础上,使用GARCH模型拟合沪深300综指收益率序列的波动率,并用以预测日VAR,估计结果显示我国股市的日VAR值仍相对较高,与发达国家金融市场的发展水平仍然有很大差距,监管部门应该具备风险管理意识,提高风险管理能力,更好地防范市场风险。

Based on the current situation of risk management in China, this article introduces VAR and GARCH model and how to use them to calculate fluctuation rate and estimate distributing critical value. By using GARCH model, it predicates the fluctuation rate of the Hushen 300 index yield rate sequence and VAR per day. For there are still great disparity between China and developed countries, we should increase risk management ability to prevent further problems.