基于arch类模型的中国股票市场风险价值的测度与分析-统计学专业论文.docxVIP

兰州商学院硕士学位论文 兰州商学院硕士学位论文 基于ARCH类模型的中国股票市场风险价值的测度与分析 Abstract The VaR model was born in 1990。S，which has only ten years history． Although it is still a very young member of empirical finance family,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 eoneerrl 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 feattired as conditional heteroskedastie．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 VraR 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．The idea of introducing ARCH models into the VaR estimation is justified by concrete step of how to use ARCH models to calculate VaR．Empirical studies on the 兰州商学院硕士学位论文 兰州商学院硕士学位论文 基于ARCH类模型的中国股票市场风险价值的测度与分析 daily closing price of Shanghai SE Composite Index，Sh