基于波动率调整的历史模拟法对细分农业指数的的VaR风险测量

Risk Measurement of Agricultural Index’s VaR Based on Volatility Adjusted Historical Simulation

自2015年普惠金融政策明确提出以来,我国的农业发展速度大幅提升,这些利好消息也使得投资者对于农业市场纷纷看好,然而农业板块市场的风险也随之增加。本文选取了2011年10月18日-2020年3月27日的细分农业指数,运用波动率调整的历史模拟法计算细分农业指数的VaR,整体地测量了农业板块地股市风险,同时也为农业市场风险管理和投资者提供了参考依据。

Since the inclusive financial policy was clearly put forward in 2015, the speed of China’s agricultural development has been greatly improved. This paper selects the agricultural index from October 18,2011 to March 27, 2020 to calculate the VaR of the agricultural index with volatility adjusted historical simulation, providing reference for investors and the risk management of the agricultural market.