中国期货市场地风险价值研究.pdf

Dissertation Submitted to Hebei University of Technology for The Master Degree of Science in Applied Mathematics THE STUDY OF VALUE AT RISK IN THE FUTURE MARKET OF CHINA by Wang Chao Supervisor: Prof. Chen Shuang Dec 2011 ‡Ûíåa¨†ÿ© •Iœ¿|xdäÔƒ £ á Cc5 ßëX •I7K|ÿ‰ıßœ¿|âèòá© |ßà u–©±•Iœ¿|èµßÔƒ•Iœ¿ |xdäß=µVaRƒxdä97KûmS© Ÿ⁄ƒ«¸áê°ß©Ê^ı´©Ÿ⁄ƒ«.?ÿxd äA^냫.!p™Í‚ƒ«.ܧ¶^ÿ”©Ÿ |‹ßȉkìL5œ¿¨´?1¢y©¤ßOéxdäßl —ƒu•Iœ¿|ßÿ”¨´néxdä(Jß蜿¥ ?1xõõJ¯nÿù‚ Öi: •Iœ¿|ßxdäß냫ßp™Í‚ƒ« i •Iœ¿|xdäÔƒ THE STUDY OF VALUE AT RISK IN THE FUTURE MARKET OF CHINA ABSTRACT After many years,with the continual development of financial market in Chi- na,the future market,as a branch,gets rapid development.In this paper,on the back- ground of China’s future market,researching value at risk,VaR.Because VaR is composed of the distribution and volatility by the time financial series,we discuss value at risk by many dierent distributions and volatility models.This paper ,tak- ing typical future varieties for example,uses the stochastic volatility model,high- frequency data volatility model and dierent distributions to calculate VaR .So,we get better result about VaR basing on dierent varieties in China’s future mar- ket,supplying theoretical evidence for the risk control of future market. KEY WORDS: The Future Market of China,Value at Risk , Stochastic Volatility, High-frequency Data Volatilit