Analysis Of The Shanghai Securities Industry Sector Index Based On VaR Method And Multivariate GARCH Model

In an economy, each industry has formed a complex system influence each other. In order to investigate the characteristics of industry volatility spillover between index returns and risk analysis, This paper will select the application of VaR method based on multivariate GARCH model, which can well depict the basic characteristics of the volatility index for the. industry, but also can effectively measure of risk.the nine industries in Shanghai stock index plates will be divided into six groups in accordance with the relationship between the upstream and downstream industry chain in this paper. Study of the dynamic relationship between industries with industry chain relationship has certain significance to the people in financial investment choice, financial risk management.Respectively, each sequence establishes a multivariate GARCH model and makes a comprehensive comparison of the changes in volatility and time-varying correlation graph. From the detailed analysis of six sequence groups volatility spillover situation among different industries, we can know some differences about the industries among Chinese economy which provides a certain reference for the investors in the industry investment; With the combination of risk measurement methods in the established multivariate GARCH model, we respectively calculate VaR value of those six groups and comparative analysis. From the analysis of this article, we find greater risk between the second industry and the tertiary industry. So we get some useful references for industry investment.