基于GARCH-VaR模型对股票市场风险价值及风险溢出的研究

Value at Risk and Risk Spillover of Stock Market Based on GARCH-VaR Model

VaR与CoVaR模型分别度量金融资产风险价值与风险溢出。通过建立GARCH-VaR模型分别计算上证市场、深证市场与创业板市场的VaR与CoVaR,研究我国股市的风险价值与多市场之间的风险溢出效应。实证结果表明:上证、深证和创业板的风险价值依次增大并且走势相近;风险价值较小的市场会对风险价值较大的市场有更强的风险溢出效应。

VaR and CoVaR measure value at risk and risk spillover of financial asset respectively.GARCH-VaR model was used to calculate VaRs and CoVaRs of Shanghai Stock Exchange,Shenzhen Stock Exchange and Growth Enterprises Market.Comparison among three stock markets was made to explore the characteristics of value at risk and risk spillover effect in extreme situation.The results show that the VaRs increase successively in Shanghai market,Shenzhen maket and GEM.Meanwhile VaRs have similar fluctuation in three markets.The smaller VaR of one market,the bigger risk spillover effect on the other one with relatively bigger VaR.