Financial Risk Survey Based On Capm-egarch Model And Volatility Overflow Research

Risk value (VaR) is a kind of tool to carry on the finance risk management. It is used to decide the sufficiency rate of capital. Says from the statistical significance, VaR is a number. It indicates "value at risk" in face of "natural" market fluctuate. In other words, VaR is intending maximal losing below known believe level within certain hold term. Finance risk is generated by finance capital volatility. Therefore, the core of risk measurement is estimating and forecasting price volatility. The estimation of volatility rate all along is one of the most active field to demonstrating finance and computation economics in the past several decades and its estimation method gained greatly development.Firstly, calculated result by different model is different and which model's precision is high? Chinese stock market is still raw and which model adapts Chinese stock market characteristic? Therefore, to the character of our country stock market, it's worth establishing a model to calculate VaR. In this paper, we analysis Shanghai integration index data and calculate VaR using ARCH model,EGARCH model,GARCH model,Component ARCH modeK GARCH-M model. By comparing this five models we known that EGARCH model is much more availability.Secondly, we notice that the present domestic and foreign literature regarding the financial market repayment sequence to establish model all uses walks randomly process, however establishing model using walks randomly process does not consider the influence that the entire money market repays carries to the single financial product or the financial product combination repayment. But the massive literature indicates that the influence which the entire money market repays carries to the single financial product or the financial product combination repayment is very large. But the CAPM model can solve this problem well. Therefore, in order to solve this problem, uses CAPM—EGARCH model to carry on the model to the stock repayment and CAPM—EGARCH model is expanded to CAPM-Duplicate-EGARCH model, the real diagnosis indicates that this model calculates the VaR value is more effective than the traditional EGARCH model.Finally, this paper has studied many economic markets to the single economic market common volatility overflow, the volatility overflow effect is refers to the different money market between the volatility possibly to exist affects mutually, and the volatility can transmit from a market to another market. The volatility overflow effect possibly exists between the different region market, also possibly exists between the different type market, such as between stock market, foreign exchange market, bond market and so on. This paper uses the Granger cause and effect examination to judge the volatility overflows between two markets, and introduces the factor analytic method to eliminate the relevance among many domestic and foreign stock market, uses the EGARCH model study many stock market for the Shenzhen stock market together volatility overflow effect.