Var Method In The Application Research Of Securities Investment Fund In Our Country

In recent years, with the rapid development of China’s financial markets,securities investment fund has become an important force for promoting thedevelopment of China’s securities market. Therefore, the development of the fundindustry has become the focus of attention to China’s financial investment theory andpractice of community. From the historical experience of the foreign fund industrydevelopment, funds must to accurate measure the financial risks in the riskmanagement. "Value at Risk" (VaR) is the new method of measuring risk which mostforeign financial institutions using, and other financial institutions from the currenttrend in the positive VaR technology into its risk management system. Under the thisbackground, this paper try to used VaR in China’s securities investment fund riskmeasurement.This paper first describes the theoretical framework of financial risk management,illustrates that the effect of VaR measurement is a critical point of apply financial riskmanagement technology,and develop risk management the importance of securitiesinvestment funds from the history of abroad fund. After a comprehensive introductionto the principle of VaR measurement techniques, improved the measurement accuracyof the VaR based on GARCH model. This paper uses the logarithmic rate of returndata of Fund KaiYuan as samples to statistical tests ,and used GARCH (1,1) model tofit the volatility levels. In order to compare the different distribution of theGARCH-VaR method , apply the GARCH model under different distributionalassumption to forecast the daily VaR of Fund Kaiyuan. The definition of VaRcalculations, and make Back-test of results , got the conclusion that the VaR techniqueapplicability in the risk management of securities investment funds in China.