基于GARCH模型的VaR方法在股市风险分析中的实证研究  

The Empirical Research of GARCH Model in Computing the VaR of Stock Market

作　　者：杜晓芳[1] 金浩[1] 白鹤[1] 

机构地区：[1]河北工业大学管理学院,天津300130

出　　处：《河北工业大学学报》2008年第4期35-39,共5页Journal of Hebei University of Technology

摘　　要：介绍了利用GARCH模型的VaR计算方法,并引入了股票市场的风险价值VaR实例计算,据此定量测量股票市场风险,为企业经营者的风险管理及一般投资者的投资风险分析提供依据.Risk measurement is the center of modern financial activities. In recent years, VaR has become the international mainstream risk management methods. This article introduces the method of calculating VaR based on GARCH model, and gives an example about VaR calculation of stock market, then we can have a quantitative measurement of stock market risk, and provide the basis of the investment risk analysis for business risk management and the general investor.

关 键 词：股市风险 风险价值VAR GARCH模型 

分 类 号：F830[经济管理—金融学]