Empirical Research On The Var Model In Chinese Stock Market

Financial risks exist in financial market.Once the financial risks happen,they oftenbring huge economical losses.The risk measurement has become a very importantissue to risk management in financial market.It has great theoretical and practicalsignificance to study on it.Since the Markowitz using the variance to measure therisk,with the new risk measurement being produced,the risk measure theory has beenimproved and developped continuously in the practice.With the VaR method widely used in th financial modeling, the accuracy is verycrucial to VaR measurement.The characteristics of financial return rate are the corecontent to all financial models, the traditional VaR estimation methods generallymake some assumptions that the return obey the assumed distribution in advance,but alarge number of empirical studies show that the actual rate of return distribution is notobey assumptions to distribution.The VaR measure is not only concerned withassumptions to distribution,but also related with the volatility of the return series.This paper discussed the issues associated with VaR risk measure on the analysisof the CVaR and VaR model, and we do further research, including VaR measurementunder the extreme volatility and high frequency data fluctuation: We make use of theextreme value theory and trimmed linear moment to decribe the characteristics of thereturn distributions, it solves problem that moment estimation can not describe thecharacteristics of the thick tail, and apply it to study the risk in Chinese stock market.In addtition, From the perspective of the High frequency data, We also make use ofthe Cornish-Fisher method to fit the real distribution, and we apply realied volatilityto Cornish-Fisher VaR estimation.There is a larger risk in the Chinese stockmarket,the stock prices not rise and drop greatly but change frequently. TheShanghai composite index and csi 300 index can not reflect price fluctuations in theChinese stock market but contact with Chinese economic very closely.We conductempirical research based on the VaR model in Chinese stock market, and this papermainly research on the financial risks of the Chinese stock market, empirical researchresults show that: Compared with VaR value in the assumptions of normal distribution,the modified VaR will be more accurate.