基于GARCH模型的证券市场风险的VaR度量

VaR Measurement of Market Risk Based on GARCH Family Model

在对VaR理论进行简单介绍的基础上,将残差分别服从正态分布、T-分布、GED分布的GARCH族模型运用到VaR的计算当中,对中国上证综合指数进行了实证分析,并对各GARCH族模型的计算结果进行了比较,在对VaR值进行准确性验证后发现:T-分布和GED分布下的GARCH族模型预测的VaR值比较准确,能较真实地反映上证综指的市场风险程度,据此得出了几点结论和建议。

After a brief introduction to the theory of VaR,the GARCH family models were applied to the calculation of VaR.The resids of the models respectively obey normal distribution,student-distribution,and GED distribution.At the same time,an empirical analysis was conducted on Shanghai Composite Index.And a comparison between the GARCH family models＇ results was discussed.After an accuracy verification of VaR values it was found that：values of the VaR predicted by GARCH family models whose resid obeys student-distribution and GED distribution are more accurate,and they can reflect the market risk of Shanghai Composite Index truly.Finally some conclusions and suggestions were put forward.