创业板指数风险价值的测算——一种改进的历史模拟法

Calculation of VaR of Growth Enterprise Index——An Improved Historical Simulation Method

风险价值VaR(Value at Risk)是一种有效地衡量风险的方法。通过对传统的历史模拟法(HS方法)、HSAF方法和GARCH类模型进行改进,提出一种新的方法(记为HS_NEW),用以衡量中国股市创业板指数的风险。通过比较,改进后的方法在预测风险时更加灵活有效,可为投资者在创业板投资时提供一种新的、准确性更高的测算风险的方法。

Value at Risk（VaR） is an effective method to measure risk. This paper proposes a new method（HS_NEW） to measure the risk of China＇s stock market＇s growth enterprise index based on the traditional historical simulation method（HS）,HSAF method and GARCH model. By comparison,the improved method is more flexible and effective in forecasting risks and can provide a new and more accurate method for calculating risk when investors invest in the growth enterprise market.