基于arch类模型的上海股票市场风险价值的测度与分析.docVIP

目录 1 引言 3 2时间序列及其分析方法2.1时间序列的特征2.1 .1异方差性特征2.1.2自相关(autocorrelation)特征2.2.3自回归(autoregression)特征2.2时间序列分析3常见运用于时间序列的回归模型3.1经典线性回归模型的假定3.2 最小二乘回归3.3 ARIMA模型4 ARCH类模型及其研究现状4.1 ARCH模型4.2 GARCH模型5风险及金融风险.1风险.2金融风险.3金融风险VaR模型的.1收益率及对数收益率数据平稳性分析RCH类模型的拟合以及相关参数的计算.1根据样本序列建立ARCH类模型GARCH模型分别基于N分布，t分布以及GED分布下估算出来的前22组VaR值海股市的风险状况分析Estimation and Analysis on the VaR of Shanghai Stock Market Based upon ARCH Economics Abstract : From 2008, it has brought financial risk management substantial improvements and draws pretty much attention from both acedemia and practitioners.Accuracy of VaR measurement is still a big concern in application. This is because of the complicity in the VaR model, which is related to both the distribution and volatility of equity, and the volatility of equity return is featured as conditional heteroskedastic. This means that the estimation procedure of VaR should appropriately consider with these two issues.Fortunately, the very prominent ARCH model techniques give us the possibility of tackle with these difficulties. ARCH was originally introduced to deal with the problem of heteroskedasticity in econometric modeling, and it can help to estimate time varying conditional variance under various assumption of residual distribution, for example the standard econometric package EViews gives users three options, i.e.Gaussian, Student t and Generalized Error Distribution. Therefore, combining ARCH model with VaR estimation is a very hopeful direction to improve the precision of VaR estimation. This paper is thus motivated by this thinking and tries to apply the new combined models to estimate the VaR of Chinese stock market.The thesis first addresses the related conceptual framework of finance, a introduction of the financial risk and the finance risk management, and then summarizes several kinds of risk measure methods and carries out detailed review on VaR methods. Finally the thesis proposes how to use this more effective methodology in the realistic fi