The Portfolio's Var Model And Garch Class-based Model Var Calculation

The most fundamental purpose of securities investment is to obtain benefits. But in investment activities, revenue is always accompanied with risks. Usually, the higher the income, the greater the risk and vice versa. To spread the risks, investors will invest many types of portfolio investment together, the so-called investment portfolio, to obtain the maximum benefit, making the investment portfolio of research into the financial sector to be one of the major issues. Due to historical and institutional reasons, China's modern portfolio theory study start late, however, after more than 10 years of efforts, China's scholars has made substantial progress in the study in this field.Based on stock index futures as an example,the papers study the VAR model of the investment portfolio and calculate VAR based on GARCH models .The nature of that risk is uncertainty. In order to estimate the parameters to resolve the variable distribution of the estimated problem in this paper,based on the use of the GED class GARCH model of the two methods VAR mean equation on the stock market under the risk of an analysis. The results of the analysis show that two kinds of mean equations have similar results. The two equations can better describe the actual risk .It has a certain reference value.