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VaR方法的引入使金融资产的风险分析得以量化,其实质是波动率的计算。本文正是基于VaR方法,通过计算不同模型在不同分布下的VaR值,对上海股票市场风险进行比较分析。分析结果表明,GED分布下各模型对风险高估或低估的现象均有所缓解。TARCH模型和EGARCH模型比GARCH模型更能反映我国股市波动情况且前两种模型间并没有绝对的优劣之分,都能较好地反映收益率的风险特性。
The introduction of VaR method to quantify the risk analysis of financial assets, its essence is the calculation of volatility. This paper is based on the VaR method, by calculating the VaR of different models under different distributions, the comparative analysis of the Shanghai stock market risk. The results show that all models under the GED distribution have alleviated the risk of over-estimation or under-estimation. Compared with GARCH model, TARCH model and EGARCH model can better reflect the volatility of China’s stock market and there is no absolute advantage or disadvantage between the two models, which can well reflect the risk characteristics of the yield.