| With the deepening of China’s financial system reform and economic restructuring, and with the continuous change of financial products and innovation, a diversified financial system will be gradually built. National securities market have been built up, and the most important is the diversified securities trading market including the main board market and the second board market. Comparing to those in the motherboard market, second board market has a more intense fluctuation. So the observations of the second board market risk is also an extremely important subject. At the same time, in such a complex financial system, the butterfly effect will make the risk of all financial assets exposed to a risk sensitive financial market. Therefore, the prevention and control of risk will also become an important issue. However, in the current situation, the risk control is still in a preliminary stage. At present, the calculation method of volatility is mainly based on the model of different variance. The parameter estimation of GARCH models, SV model and non parametric method is utilized to estimate the GARCH models, SV model those was used to fit the second index of heteroskedasticity sequence. According to the obtained heteroskedasticity sequence calculated six test statistics to draw two conclusions: non parametric estimation of the model compared to the parameter estimation model has a strong effect and SV family model comparing with the GARCH model have better effect. Using heteroskedasticity sequence obtained to calculate the VaR value, final failure days and the LM statistics value shows that the nonparametric estimation of SV model has a better fitting effect, and also has a more obvious advantages for the controlling of the volatility and risk. Finally, through the comparison of several models, the SV model has a strong advantage. At the same time, it also puts forward some suggestions and opinions for the ETF fund of the gem index. |
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