The Application Of Value At Risk To The Stock Exchange Investemnt By GARCH Models

The risk measurement technology has been a core and the hot spot concern of the financial field, In this paper, We main research the improvement and application of VaR models of the financial market risk measure for the characteristics presented by financial data。We first introduces the background and significance in this article and conduct literature review, Then setout the basic principles and the general calculation method of VaR methods, So that defining the the real essentials of VaR calculation as well as the evaluation of the traditional calculating VaR method, For the lack of above methods, Connection with the spikes and volatility clustering and fat-tail characteristics of financial datas, We proposed the improvement direction of VaR model, Then, we explore the VaR calculation method based on GARCH model along the direction of improving, And combine the GARCH model with t or GED distributions, Established the GARCH-t model and GARCH-GED model, That can characterize both the volatility of gathering characteristics and the thick tail characteristics of the dates, In response to these models, We gives the corresponding specific steps of the VaR calculation, Then using the above line of analysis and calculation steps did the VaR calculation and return to the Test with the Fund's 15 data of 2006 to 2008, Contrast with the GARCH-N model, It shows the model under GARCH-GED is the best in reflecting the risk of mutual fund., Finally, For elimination of the correlation between the financial assets, We introduction the component analysis for the portfolio VaR calculation based on orthogonal GARCH model, From the perspective of empirical analysis,。we obtained some reasonable results。...