国内外预测股指股票市场风险基本采用对波动性估计具有精度、准确度和可信度较高的GARCH模型族。因此本文构建VaR-GARCH模型族,并以上证指数和恒生指数为对比做了实证分析,由模型结果揭示两地金融资本市场的差距,并根据模型结果提出针对内地金融资本市场不足之处的改进措施。 At home and abroad, the stock market risk of stock index basically adopts the GARCH model family which has the accuracy, accuracy and credibility to the volatility estimation. Therefore, this paper constructs a family of VaR-GARCH models and makes an empirical analysis based on the comparison between the Shanghai Composite Index and the Hang Seng Index. The results of the model reveal the gap between the two financial capital markets. According to the results of the model, we propose improvements to the inadequacies of the mainland financial capital markets Measures.