ARCH簇模型在股市风险价值测度中的应用

The application of ARCH model on measuring value at risk in stock market

基于条件异方差的ARCH类模型一直是刻画金融市场中金融产品价格波动的重要工具,而金融风险价值测度中的VaR方法又往往基于ARCH类模型,但基于正态分布的ARCH模型存在缺陷,对ARCH类模型的原理和方法做出梳理,利用改进的GARCH-T模型结合2001~2015年的上证指数进行实证验证,发现GARCH-T模型在金融资产价格的条件均值、条件方差及其它分布特征方面能进行更好的刻画,而VaR的计算结果则更加可靠和准确。

Based on conditional heteroscedasticity,ARCH Models has been an important tool of portraying financial product price volatility in financial markets,and the financial value at risk measure method of VaR is often based on the ARCH models,but the ARCH models based on normal distribution have many defects.According to review classical ARCH models,applying the improved GARCH- T model and using the Shanghai index in 2001 ~ 2015 to make an empirical analysis,finding GARCH model under the condition of financial asset prices- T do better than other models in mean value,variance and other distribution characteristics,and the Va R calculation results are more reliable and accurate.