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在整个金融市场的发展过程中,金融风险越来越受到投资者的关注。目前,对于股票投资市场上的风险预测与评估较为流行的方法之一就是由J.P.Morgan提出的VAR方法。本文通过对标普500指数和我国上证指数近15年的数据进行分析,分别以正态分布、t分布、GED分布三种假设下的GARCH族模型进行分析,找到合适的模型,根据得到的VAR分别判定对应模型的预测的准确程度。进而对两大股票市场进行对比,并对我国股票市场的发展提出自己的一些风险管理建议。
In the development of the entire financial market, financial risks have drawn more and more attention from investors. Currently, one of the more popular methods of risk prediction and assessment in the stock market is the VAR method proposed by J. P. Morgan. By analyzing the S & P 500 Index and the data of the last 15 years in China’s SSE, we analyze the GARCH family models under the three assumptions of normal distribution, t distribution and GED distribution respectively to find the suitable model. According to the obtained VAR Respectively, to determine the accuracy of the corresponding model of the forecast. And then compares the two stock markets, and puts forward some suggestions on risk management for the development of the stock market in our country.