Risks Measurement And Analysis Of Shanghai And Shenzhen Stock Market Index Based On GARCH-VaR Model

Value at Risk is prevalent management approach to predict the financial risk in the international arena currently, also is widely used by financial institutions for risk analysis and forecasting.This paper studies the Var measurement methods and GARCH model,alone with combining the theoretical analysis and empirical research, which uses the method of variance-co-variance,deep on the stock market closing price.Firstly, this paper systematically statements the research purpose and significance of Var,as well as the research status of domestic and foreign scholars.This paper studies the basic principles, applications, and three calculation methods of Var while compares the advantages and disadvantages. The research studies GARCH, EGARCH, TGARCH, PGARCH,GARCH-M Model,along with the theory of Var failing test,setting up GARCH-Var Model.Secondly,the empirical analysis method of Shanghai and Shenzhen stock index is variance-co-variance, selecting month-closing price from January 2004 to July 2015 for the research, analyzing the basic statistical characterization of data, including stationary test,correlation test and conditional heteroskedasticity test.This empirical analysis result selects optimal GARCH model and calculates the estimated Var at 90%, 95%, 99% confidence level but also does the failed test on obtained Var.Finally, GED distribution of EGARCH-M(1,3) model is applied on Shanghai stock index month-returns sequence at 95% and 99% confidence level Var calculating through failed test, EGARCH(1,3) model is fitted for simulating Shenzhen stock index calculating at90%, 95% and 99% confidence level to compute three kinds of Var based GED distribution under the regulation which has passed the test failure.