基于GARCH-VaR模型族对万科A股风险的实证研究

Empirical Research on GARCH-VaR Family Models at the Risk of Vanke A-Shares

本文对GARCH模型族进行了介绍,并运用GARCH-VaR模型族在三种不同分布假设下对万科A股风险进行分析与研究.结果显示,EGARCH-VaR模型比GARCH-VaR模型能更好地度量风险价值,为比较理想的模型.

This paper introduces the GARCH family models,and use GARCH-VaR family models to analyze the risk of Vanke A-shares under three different distributional assumptions. The results indicate the EGARCH-VaR models are ideal models because it can measure the value at risk better than GARCH-VaR models.