Study Of GARCH Model Based On Value Function And Risk Measurement

With the rapid development of the world's financial derivatives market, it provide participants with hedging tool, has become the root causes of volatile financial markets, increased the complexity of risk management. The effective management of financial risks has become focus attention of domestic and foreign financial practitioners, theoretical circles and regulatory agencies. Risk measurement is the core part of risk management. The study of risk measure has great theoretical significance and practical significance for risk management theory and the development of China's risk management.VaR and CVaR method is widely applied in risk measurement, monitoring and other fields .It becomes the mainstream of financial market risk measurement methods and parameter estimation method based on the GARCH class model is one of the very important way. The volatility of stock prices showing a non-symmetrical, non-equilibrium and relationship between the mean and variance of income is self-related, and unstable. In which the non-symmetry are closely related to investors psychological factors, however, these non-symmetric GARCH model were with little regard for investors psychological factors on the price impact at present.This paper analyzes the existing GARCH class model, combined with the prospect theory of behavioral finance theory, build VF-GARCH model based on value function, and gives the maximum likelihood function parameter estimation method. Combined with measurement methods of risk management in the VAR and CVAR theory, it improved the VAR and CVAR measurement methods which based on VF-GARCH model. Select the number of the Shanghai and Shenzhen 300 Index log-return rate as a sample, using number of the Shanghai and Shenzhen 300 Index rate of return on the VF-GARCH and GARCH modeling, and comparison of derived VF-GARCH model has the advantage. Use VAR and CVAR parameters methods which improved based on VF-GARCH model to measure the rate of log-return of the Shanghai and Shenzhen 300 index VAR and CVAR values, measure the effectiveness of the results with the Kupiec's failure frequency test method, the empirical results of the Shanghai and Shenzhen 300 index futures have guiding significance of risk management.