基于GARCH族模型对我国沪深股市在险价值(VaR)的实证分析  

An Empirical Analysis of the Va R of China's Shanghai & Shenzhen Stock Markets in Terms of GARCH Family Model

作　　者：智毓贤 姚舜 陈作章[1] 

机构地区：[1]苏州大学东吴商学院,江苏苏州215000 [2]南京大学经济学院,南京210000

出　　处：《无锡商业职业技术学院学报》2015年第5期1-9,共9页Journal of Wuxi Vocational Institute of Commerce

摘　　要：近30多年来我国金融市场发展迅猛,金融机构面临的风险主要由信用风险向市场风险。如何构建合适的模型以恰当的方法对市场风险进行测量,是当今金融研究领域的一个热门的话题。在险价值(Va R)方法作为当前比较流行的测量金融风险的方法,具有简单明了的特点。文章运用GARCH族模型对我国沪深两市的Va R值进行实证分析,得出结论:相较于其他的GARCH族模型,TARCH模型拥有最高的准确度;上证综指的Va R值要小于深证成指的Va R值;我国沪深两市都存在一定的波动率非对称效应。China＇s financial market has been developing at a high speed in the last 30 years, and the major risks that financial institutions are faced with are shifting from credit risks to market risks. As a result, constructing a proper model to measure the risks of the financial market has become a hot topic in the researches into finance. As a popular method adopted for the measurement of financial risks, VaR is both simple to handle and easy to understand. Based on an analysis of the VaR of China＇s Shanghai ＆ Shenzhen Stock Markets in Terms of GARCH Family Model, this paper concludes that, compared with other GARCH family models, TARCH model bears the highest accuracy, that the VaR of the composite index of Shanghai Stock Market is lower than the VaR of finite index of Shenzhen Stock Market, and that both Shanghai and Shenzhen Stock Markets bear a certain asymmetric effects in terms of fluctuation ratio.

关 键 词：金融风险管理 在险价值VAR GARCH模型 

分 类 号：F830.91[经济管理—金融学]