The VaR Model Of Stock Prices' Volatility And Its Application In Risk Managements Of Stock Investments

As an important component of China's market economy, China's stock market is playing an important role in economic development. Having experienced a history of 2007, it would probably perform in an unpredictable way in 2008. Volatility is the immutable law of stock exchanges, which is mainly due to wide range of risks. These risks have been quantified and analyzed through many models and methods, but the results mixed. Compared to the traditional means, VaR, which is a far-sighted method, provides a relevant and overall portfolio perspective of risks. Samples from Shanghai and Shenzhen 300 index of stocks represent ideally circumstances of the two markets, its stocks with higher liquidity, and better reflection of the two markets of the overall trend. Empirical study, on the basis of Shanghai and Shenzhen 300 index, will better verify the accuracy of VaR model.This article is divided into five chapters:The first chapter describes the background and significance of topics, analyzed the domestic and international VaR measure on the risk of the status quo, and put forward ideas on paper. Chapter II introduces risks in financial market, and risk management tools, as well as some shortcomings of traditional tools, which lead to the advantage of the VaR model. Chapter III describes in detail the method of calculating VaR, with the relevant statistical theory. Chapter IV explains why the Shanghai and Shenzhen 300 index be chosen as a sample for the VaR model of empirical research, and proposed relevant policy proposals. Chapter V summarizes the full text and claims the shortages of this article.