The Validity Test Of VaR And Its Improvement Based On The GARCH Family Model

In resent years the market risks management has become increasingly important for a number of reasons:globalization,financial derivatives and high volatility in finance market. VaR is a popular method to compute finance risk,which is simple,clear and more reasonable in contrast with variance because it takes the loss of investors as the risk. This article analyses GARCH family such as GARCH,EGARCH,PARCH,computes VaR about Indexs of Shanghai A stock,Shanghai B stock and HengSheng in normal distribution and student t-distribution; and analyses the factors that impact VaR. But when we calculate VaR by using parameter method,distribution hypothesis and the selection of models is somewhat subjectivity and sometimes depended on experience. So we add the risk premium into the equation of return rate,and it proves that the result is better. Because the VaR is not sub-additive,we use GARCH-CVaR to analyse .the risk features of the stock market.