股票市场风险的实证分析

An Empirical Analysis on the Risk of Stock Market

本文从理论和实证两方面对目前流行的各类股票市场风险计量方法的特点和优劣进行比较分析。创新之处在于采用复合模型,用GARCH类模型改善VaR风险计量模型,并用Bootstrap方法修正模型。由于条件均值的ARMA方程允许模拟任何序列相关,而GARCH条件方差方程可应用于处理波动聚类,因此,采用GARCH类模型可得到独立同分布的观察值,得到更有效的VaR估计值。

With a compact structure,this article,taking the techniques of taxonomy and antitheses thor-oughly,makes a comparative analysis of the characteristics,advantages and disadvantages of nowadays’ popular financial risks measuring models theoretically and practically.The innovative point in this article is that it has adopted a composite model creatively,implementing the Bootstrap method into ARMA-GARCH risk measuring models.Conditional mean Equation ARMA could simulate any kinds of serial correlation,and equation GARCH could handle the volatility conglomeration.Therefore the independent and identical dis-tribution variables could be obtained by ARMA-GARCH models.Farther more,we could get more effective VAR estimations by applying the Bootstrap technique into dealing with the independent and identical dis-tribution observations.