基于GARCH-VaR模型的投资风险评估分析--以茅台股票为例  

Evaluation of investment risk by VaR model based on GARCH models--Take Moutai stock as an example

作　　者：李银 伍晓晴 林芯怡 朱文静 杨艳 LI Yin;WU Xiao-qing;LIN Xin-yi;ZHU Wen-jing;YANG Yan(School of Mathematics and Statistics,Shaoguan University,Shaoguan 512005,China)

机构地区：[1]韶关学院数学与统计学院,广东韶关512005

出　　处：《佛山科学技术学院学报（自然科学版）》2022年第3期22-31,共10页Journal of Foshan University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(11926354);国家创新创业项目(202110576010);广东省自然科学基金资助项目(2019A1515011320,2021A1515010292)。

摘　　要：GARCH族模型是对金融数据波动性进行描述的有效方法。采用Eviews软件以我国经典白酒贵州茅台股票为例,基于GARCH类模型计算了茅台股票VaR值。在95%的置信水平下所建立的GARCH(1,1)-VaR模型失败率为2.79%,GARCH(2,2)-VaR模型失败率为2.81%。实证分析结果表明,GARCH类模型更优于解决对称的序列。The GARCH family model is an effective method to describe the volatility of financial data.This paper uses Eviews software to take the country’s classic liquor Kweichow Moutai stock as an example,and calculates the VaR value of Moutai stock based on the GARCH model.The failure rate of the GARCH(1,1)-VaR model established at the 95%confidence level was 2.79%and the failure rate of the GARCH(2,2)-VaR model was 2.81%.The empirical analysis shows that the GARCH model is better than the symmetrical sequence.

关 键 词：GARCH类模型 VAR模型 贵州茅台股票 

分 类 号：O175[理学—数学]