VaR风险度量及其在股市中的应用.docVIP

PAGE PAGE 32 VaR风险度量及其在股市中的应用 摘要：本文以沪深股市为研究对象，选取了两市的综合股票指数2011年1月1日至2014年12月31日共1940个收盘价样本，利用单位根检验、自相关检验、条件异方差性检验等分析了股市的日收益序列特征，并根据其显著的ARCH效应建立基于正态分布的GARCH模型，分析了股市风险的波动性问题。随后引入其它因子对GARCH模型进行扩展，从而更好地描述收益分布的尾部特征。基于不同模型估计的条件方差计算VaR值，并评价各个模型的有效性。第一章主要介绍了本文的研究背景与目的。第二章系统地介绍了国内外有关VaR测度的研究成果以及本文的创新点。第三章介绍了几种主要的VaR值估计理论。在第四章中，本文初步描述了金融市场的收益率序列波动的非对称性和聚类性，及其形态特征。在第五章中，本文建立了基于正态分布的GARCH模型，以及改进的GARCH-t模型、GARCH-M模型和EGARCH模型，并以模型预测的方差计算日VaR值。第六章利用Kupiec的Back-test失败率检验和Christofferson的聚束效应检验评估了不同置信水平下的VaR测度模型。 关键词：VaR方法；GARCH模型；Kupiec检验；风险度量；股票市场 VaR methodology and its application to risk measurement in the stock market Abstract: In this paper, we have the Shanghai composite index and the Shenzhen composite index as research subjects, selecting 1940 closing price of samples from 1 January 2011 to 31 December 2014. Using the unit root test, correlogram test and conditional heteroskedasticity test, we analyze the daily return series features in the stock market. And we establish normal distribution of GARCH model to analyze the risk of stock market volatility problem in accordance with its significant ARCH effects. In order to describe the tail of the return distribution, we introduce other factors to extend GARCH model. Depending on the conditional variance the model estimated, we can calculate VaR value, and evaluate the effectiveness of each model. The first chapter introduces the research background and purpose of this article. The second chapter introduces the innovation VaR measure related research results and described herein. The third chapter introduces several major VaR value estimation theories. In the fourth chapter, the paper describes the initial rate of return of financial market volatility asymmetry and sequence clustering, and morphology. In the fifth chapter, the paper establish the GARCH model based on the normal distribution, as well as improve GARCH-t model, GARCH-M model, EGARCH model and then calculate daily VaR values. In chapter VI, we use Kupiec Back-t