VaR模型的实证分析——我国股市的风险管理.docVIP

PAGE PAGE 21 VaR模型的实证分析——我国股市的风险管理 摘要：我国的股票市场发展非常迅速，已经成为影响社会经济生活的重要方面。本文通过分析深证综合指数收益率、中小板指数收益率和创业板指数收益率的特征来对风险市场进行有效的风险管理，主要运用VaR模型对股票市场的风险进行分析。近年来人们渐渐地认识到了VaR（Value at Risk）模型的重要性。本文通过对这三种股票指数的分析并测度风险，可以使经营者根据自己能够承担的风险水平做出恰当的决策。 在股票市场的实证研究中，通常使用收益率即价格的变化而非价格本身为研究对象，因为股票价格之间存在明显的序列相关性和趋势性，使得许多分析方法不能使用。 本文选取了2014年1月2日到2016年3月31日的深证综合指数、中小板指数和创业板收益率作为研究对象，用GARCH族模型对指数收益率进行建模之前，我们必须先对收益率时间序列进行正态性检验、平稳性检验、残差序列相关性检验和ARCH效应检验；我们采用了GARCH族模型进行建模，采用T分布和GED分布的形式，建立了GARCH（ 关键词：股票市场 GARCH族模型 VaR An Empirical Analysis of VaR Model - Risk Management in Chinas stock market Abstract:Chinese stock market is developing very rapidly and has become an important aspect of social and economic life. This article aims to analyze the Shenzhen Composite Index, the volatility characteristic small board index and the GEM index, yield characteristics and risk characteristics, the main use of VaR models analyze the risk of the stock market. VaR is in a normal market environment, given a certain time interval and confidence level, the greatest measure of expected loss approach. In recent years, people gradually realized the importance of risk management. Through analysis of these three stock index and measure risk, it allows operators to make appropriate decisions based on the level of risk they can bear. In the empirical study of the stock market, the rate of return that is typically used changes in prices rather than the price itself for the study, because the stock price was between serial correlation and trend, making many analytic methods can not be used. Before this paper selects the Shenzhen Composite Index , the small board index and the GEM index from January 2, 2014 to March 31, 2016,returns as the research object, the GARCH model to model index return, we must first time series rate of return normality test, stability test, autocorrelation test and conditional heteroscedasticity test; we used the GARCH model to model, in the form of T distribution and generalized error distribution