创业板指数风险价值测度模型应用研究数量经济学专业论文.docxVIP

首都经济贸易大学硕士学位论文 首都经济贸易大学硕士学位论文 ((创业板指数风险价值测度模型应用研究》 Abstract Wi th the deepening of China’S financial system reform and economic restructuring， and with the continuous change of financial products and innovation，a diversified financial system will be gradually buiIt． National securities market have been buiit up，and the most important i the diversified securities trading market including the main board market and the second board market．Comparing to those in the motherboard market， second board market has intense fluctuation．So the observations of the second board market risk is also extremely important subject． At the time，in such complex financial system，the butterfly effect will make the risk of a11 financial assets exposed to risk sensitive financial market．Therefore，the prevention and control of risk wi 11 also become important i ssue．However，in the current i tuat ion，the ri sk control iS still in preliminary stage．At present，the calculation method of volatility iS mainly based the model of different variance． The parameter estimation of GARCH models，SV model and parametric method i utilized to estimate the GARCH models，SV model those used to fit the second index of heteroskedasticity sequence．According to the obtained heteroskedasticity sequence calCUlated six test statistics to draw two conclusions：non parametric estimation of the model compared to the parameter estimation model has strong effect and SV family model comparing with the GARCH model have better effect． Using heteroskedasticity sequence obtained to calculate the VaR value．final fai lure days and the LM statistics value shows that the nonparametric estimation of SV model has better fitting effect，and alSO has obvious advantages for the controlling of the volatility and risk．Finally， through the compari of several model s，the SV model has strong advantage．At the time，it al puts forward suggestions and opinions for the ETF fund of the gem index． Key words： GARCH model： SV model： nonparametric： gem