GARCH Model Based On The Stock Risk Metric Explored

After almost 20 years of development, our country securities market has already formed with China's economic development to adapt the characteristics of road, scale unceasingly expands, the listed company increasing of quantity, investor enthusiasm unceasing enhancement, institutional construction increasing perfection. But stock market in many aspects of faultiness remained relatively obvious. Especially since the start of 2008 decline of market caused a great negative impact, harm the interests of the investment. So of the securities market risk metric become the focus of the financial market management, risk metric gradually become the core of financial market risk management, and at the same time, these also poses a challenge to risk measurement, need more suitable model methods to deal with these situations. At present, a measure of risk more popular method is VAR method. VAR is not only for the future situation of estimation, and only with a single figures can be characterized a combination or a financial institution in a period of facing the market risk. Actual assets income distribution has rush characteristic, in normal distribution under the condition of the VAR estimate will lead to produce underestimated risk measurement VAR.Based on GARCH (generalized auto-regressive conditional heteroscedastic) model was established by Tim Bollerslev in the ARCH model based on carry out. GARCH model describes the stock market returns sequence between autocorrelation, have reflect market time-VAR in characteristics, can better description of financial market dynamics and complexity. This paper will be divided into 4 chapter GARCH model to explore the stock risk measurement.Chapter 1 for my introduction. This chapter expounds the research background, research situation, this paper proposes the research question, points out the dissertation research theoretical significance and practical significance, and the paper the structure arrangement, illustrates the paper concludes the main innovation work. A comprehensive review and combed the existing financial risk theory about the literature basis, this chapter for financial risk, financial risk management and risk value calculation method is discussed in this paper. Risk is financial risk management of the key sectors, and the use of LARCH model risk value computation in this paper is discussed. The paper also reviewed the literatures about risk contagion theory, for the later based on multi VAR rate LARCH model of risk contagion research do theories preparation.Chapter 2 summarizes VAR method, the basic principle of including VAR definition, VAR calculation formula of and general calculation steps. Then the different basic method for VAR is discussed, and the GARCH kinds of models:auto-regressive conditional heteroscedastic model (the ARCH model), index GARCH model (EGARCH), Power ARCH model (PARCH), mean auto-regressive conditional heteroscedastic model (Garth-M), with such GARCH model VAR USES to do a detailed analysis. In short, this chapter is VAR method and GARCH kinds of models of discussion, the empirical analysis for later chapter provide theoretical basis and guidance. In the next chapter will according to this chapter introduces VAR pious calculation VAR method and GARCH class model on Chinese stock market risk measurement and test. Chapter 3 is this paper focuses on the Shanghai stock exchange, through to the stock risk measure empirical analysis, Shanghai, through that Shanghai towel for a period of time in the sequence of yield of the inspection, get yields residual sequence satisfy the ARCH effect GARCH model, so very suitable for V AR calculation'} 'volatility estimates. Based on two different distribution (t distribution and GED distribution) assumption that GARCH class discussion the VAR model, and the calculation based on actual data calculated from Shanghai towel in January 2005 31 to December 31,2009 average day period VAR value, accordingly quantitative measure fabric field risk, the stock for stock investment the organization's risk management and the general stock of the investment risk analysis provides the basis. Through the deep stock market risk measure of market model selection and comparison, we adopt such right moving average method, the index of weighting moving average method and GARCH (1,1) method, GARCH (1,1)-t method and Pareto type excrement distributions method to calculate the Shanghai and Shenzhen stock of the day returns VAR. Backward tests showed, Pareto type excrement distribution method than other methods can more accurately reflect the Chinese stock market risk.Chapter 4 GARCH model, based on the summary of financial assets and portfolio risk value calculation of empirical analysis results, obtained for financial assets risk value measure of optimal model setting, and based on multi VAR and GARCH model of financial assets fluctuations infect mechanism are analyzed, in the process of VAR discussion forward has many shortcomings, waiting for the follow-up study.