Based On The Ewma Method Of Var Estimates

Based on the theory and calculated method of VaR and ARMA model,we take an emprical research on daily,weekly,and monthly gain rates of the Shanghai stock index and the Shenzheng stock index of B from 1992 to 2007.First of all,we trandform gain rates of the Shanghai stock index and the Shenzheng stock index of B to a set of data that has normal distribution or approximately normal distribution.And then we respectively calculate their best decrease factor and Value-at-Risk.At last,we find some conclusions as follows:(1)As for Shanghai stock index(Shenzhen stock index)of B:The best decrease factor of the daily gain rate,weekly gain rate and monthly gain rate are 0.84,0.97,0.84(0.98,0.95,0.84).The above datum show the waving of Shanghai stock index and Shenzhen stock index is not same in short time,but for long time,the waving of them is same that fit macroscopic circumstances of China.(2)Forcasting the Value-at-Risk of Shanghai stock index and Shenzhen stock index applying EWMA(exponentially weighed moving average)method and ARMA (Auto-regressive Moving Average)model and finding their waving is same.And the forcasting of EWMA mehtod can more quickly affect waving of market.