基于Markov过程的SW-ARCH模型及其金融VaR计算——以上证综指分析为例

Markov Regime Switching ARCH Model and VaR Estimation——An Empirical Research on Shanghai Composite Index

将表现状态转换的Markov过程引入了ARCH模型,通过对上证综指的实证研究,采用SW-ARCH模型并利用非参数核密度估计技术辨识了在全球性金融危机冲击下我国股市出现的大幅异常波动状态,并用Kupiec的失败频率检验法对VaR的准确性进行检验来验证模型的有效性.结果表明:我国股市有着显著的状态转换特征,且重大事件或政策是导致我国股市状态转移的重要原因,基于SW-ARCH模型的VaR能有效反映我国股市风险.

This paper introduces the Markov process under the ARCH model.With SSE Index as an example,an empirical study is carried out,in which SW-ARCH model and non-parametric kernel density estimation techniques are used to identify the substantially abnormal fluctuations of the stock market of China under the global financial crisis.Then Kupiec test is used for the accuracy of VaR to verify the validity of the model.The results show that China＇s stock market is characterized by regime-switching and major events or policies are the main reasons for it.VaR based on the SW-ARCH model can effectively represent the risk of China＇s stock market.