我国创业板市场风险的度量及分析——基于随机波动率模型的实证研究

The Measurement and Analysis of the Market Risk of the GEM in China——Empirical Research Based on Stochastic Volatility Model

创业板自上市以来,其高风险问题一直是学术界和实务界研究的重点问题。为精确度量创业板市场风险,将MCMC参数估计方法引入到随机波动率模型中,进而计算出基于随机波动率模型的创业板市场风险价值(VaR)。实证结果显示:在一天持有期内,在95%的置信水平下,创业板市场发生的最大损失不会超过3.19%;在99%的置信水平下,创业板市场的最大损失不会超过4.45%。此外本文还使用GARCH族模型对创业板市场的风险进行了辅助研究。

The high risk of the Growth Enterprise Market（ GEM） has always been the significant point of the academia and the practice field. In order to measure the market risk of the GEM accurately,the author of this article introduces the MCMC parameter estimation method to SV model to calculate the VaR. The results show that： within one-day holding period,under the circumstance of 95% confidence level,the largest loss of GEM would not exceed 3. 19%. Meanwhile,under the circumstance of 99% confidence levels,the largest loss of GEM would not exceeds 4. 45%. Besides,the author also employs the GARCH patterns to assist the research on the risk of GEM.