The Applied Research Of GARCH Family Model Based On The VaR Method In China's Stock Market Risk Measure

It is a hot topic how to construct a the suitable model to measure financial risk in financial research field at present-VaR is a popular method to compute finance risk, which is simple, clear and more reasonable in contrast with variance because it takes the loss of investors as the risk-But when we calculate VaR by using parameter method, distribution hypothesis and the selection of models is somewhat subjectivity andsometimes depended on experience. As the nation GARCH model can be used to describe the dynamic characteristics of the proceeds to capture the cluster effect of the stock market. Asymmetric Feature,Therefore,in recent years VaR calculation of the parameters used various methods to focus on combining GARCH model can capture the thick stock gains t-tail characteristics of the distribution, atypical distribution calculation.The model of GARCH is widely used in modeling the volatility of fi-nancial assets and measuring Va R.This paper analyses GARCH family such as GARCH, TARCH,EGARCH.The paper, to begin with, introduces basic methods to calculate VAR, then makes a comparison in facet of the advantages and disadvantages of them. Finally Shanghai stock index, Shenzhen stock index,Shenzhen elemant index,Shanghai stock 180 index are studied and the profitability of them is tested indicates the earning ratio of those markets presents skew and distributed stably with the effect of ARCH-LM. Hereby, GARCH mode is suitable to be applied to calculating VaR of China's Market. Also, the paper fits GARCH,TARCH,EGARCH model and the GED distribution to study the alternation of VaR under those hypotheses.Kupiec test is adopted to test the accuracy of the mode to find good model for each securities market.