VaR-GARCH-EVT Model And Empirical Research On Chinese Stock Markets

With the influence of global economic integration and global financial integration, the importance of finance risk management is becoming increasingly conspicuous. Because VaR has unique advantage in quantifying risk and dynamic supervision, so it has become principal method in finance risk management. This text sets up VaR-GARCH-EVT model to solve volatility clustering and the peaked and fat-tailed characteristics of Chinese securities market. Compared to the model of basing to the hypothesis of normal distribution, VaR-GARCH-EVT model has advantage. VaR-GARCH-EVT model is a quantized tool for investor and manager to forcast income and control risk.This text has 5 chapters. The first chapter introduces research background, question putting, research meaning, Current Situation research of Home and abroad. The second chapter sets forth theory and metric method of finance risk management. The third chapter poses VaR-GARCH-EVT model basing on GARCH family model and EVT. The forth chapter introduces the demonstration research of VaR-GARCH-EVT model in the Chinese securities market. This chapter validates that VaR-GARCH-EVT model is fit to Chinese securities market through data choosing, check procedure and interpretation of results. Compared to conventional normal distribution, VaR-GARCH-EVT model has advantage. The fifth chapter is conclusion of the text, which explains principal contributions and disadvantages.