The Research Of Application Of VaR Based On The Stable Distribution

In this paper, first a method of risk measures have been introduced. But now the articles about the method of VaR are very general,and the main stream of the methods is Generalized Autoregressive Conditional Heteroscedasticity model.This is an typical analysis method about the financial time series data.the conclusion is quite good,but the drawback is the hypothesis of the conditional Normal distri-bution of the rates of earnings,this is to be at variance with the characteristic of the distribution of the financial time series data.so based on empirical analysis of the rates of earnings of SHCI via the GARCH model,we suggest that an analysis of the rates of earnings of SHCI via the stable distribution model, luckily, the last conclusion of the risk measures is very good.This indicate that the sable model can reflect the level of risk very well. And it is better than the normal model.