基于GARCH模型的上证指数的VAR研究分析  

The Analysis of the VAR about the Shanghai Composite Index based on the GARCH Model

作　　者：赵士玲[1] 张能福[2] 

机构地区：[1]武汉工业职业技术学院,湖北武汉430061 [2]五邑大学管理学院,广东江门529020

出　　处：《科技创业月刊》2012年第1期28-31,共4页Journal of Entrepreneurship in Science & Technology

基　　金：广东省自然科学基金项目(项目编号:8152902001000010)

摘　　要：风险管理、风险预测是金融市场最为热门的话题,而风险价值法是最受关注的风险管理方法。针对股票市场波动服从正态分布常规假设的不足和缺陷。选用能很好模拟股市尖峰厚尾特性的GARCH族模型,估计风险价值的主要参数;并选用蒙特卡罗模拟方法计算风险值,以具有股票市场综合特征的上证指数为样本数据进行实证研究,结果显示:该改进提高了蒙特卡罗模拟方法模拟结果的精确程度,使其预测结果更符和实际状况。Risk management and risk profile are the most popular topics in the financial market,and the value-at-risk method is the most concerned risk management method.In view of the deficiency and shortcoming of the conventional assumption that the Stock Market Volatility follows normal distribution,this article uses the GARCH model which can be used to simulate a fat tail of the stock market,and the main parameters are obtained in this paper.And the Monte Carlo Simulation Method is selected to estimate the Value-at-Risk,and the Shanghai Composite Index is taken as the sample data which can represent the national stock market volatility well.The empirical research result demonstrates that the innovative approach improves the Monte Carlo simulation results＇ accuracy,which makes the predicting outcomes more consistent with the actual situation.

关 键 词：GARCH类模型 上证指数 风险价值(VAR) 蒙特卡罗模拟 

分 类 号：F224.9[经济管理—国民经济]