The Empirical Research Of Stocks Based On VaR Approach

Recently,with the developing of global economic,It has aroused people’s attention to financial risk.Risk management has become the management focus of modern financial institution.Because of its advantages,VaR has seen as one of the most popular methods.China’s stock markets have more than 20 years of history.Although we have achieved a lot,there are some things that do not accord with the standard.China’s stock markets volatility is more strong than that of Britain’s stock markets and French stock market.Because of the current situation of our stock markets,we must attach importance to risk management.It is necessary to apply VaR approach to risk management markets,based on Chinese situation.In my paper,I dwell on some relevant knowledge about stocks,development History,risk management,VaR technique’s conception,model systems and calculating methods.I collect a lot of the latest data about the closing price of Shanghai Composite Index and shenzhen stock index between 2010 to 2016.This paper makes the theory and examples combined,which makes use of the related finance,statistics and econometrics knowledge.The main contents of the research include five aspects.Firstly,I introduce some knowledge about stocks and risk management.Stock is one of the most controversial financial tools,with the characteristics of risk.Secondly,I dwell on some relevant knowledge about VaR technique’s conception,model systems and calculating methods.This part introduces variance-covariance method,historical simulation method and monte carlo simulation.Thirdly,this part is about the empirical research of stocks based on VaR approach.I collect seventeen hundred data about the closing price of Shanghai Composite Index and shenzhen stock index between January 4th,2010 to December 30 th,2016.I conduct an empirical analysis based on the raw data.I compare Shanghai Composite Index with shenzhen stock index annually.Eviews8.0 is used for test model’s stationarity,normality,autocorrelation and heteroscedasticity.Fourthly,I figure out the VaR of Shanghai Composite Index and shenzhen stock index.What’s more,I analysis the results.I build the models of GARCH and find out the VaR.Finally,this part is about the research conclusion and implications of stocks risk management.I draw conclusions and received a revelation.