Application Research On Risk Evaluation Model Of Stock Investment

With the securities lending and borrowing business and the rapid development of stock index futures,increasing leverage in China securities market,its intraday volatility significantly larger,the Shanghai composite index is in late June after a second straight day of amplitude is more than 10%.Along with the development of various derivatives,leveraged obvious amplification in the securities market,investors also because the volatility of stock index and risk of a sharp magnified,how to measure the risk that become the primary problem to solve.At present,the risk measure of the more popular approach is the VaR method,and mainly the historical regression method,monte carlo simulation and the family of GARCH model is given priority to,etc.Based on the analysis of the various calculation methods,on the basis of advantages and disadvantages,choose to adopt the family of GARCH models,and with the Shanghai composite index and Shenzhen composite index as sample,in computing,weighted average yield and closing price,on the basis of poor yields in normal distribution,student's t,and in turn GED distribution assumption that establish a GARCH model,garch-m model and asymmetric GARCH model to measure the value at risk of securities market.By significance test,and the size of the AIC and SC value analysis,under the GED distribution GARCH model fitting the Shanghai composite index closing price yields(R_C)and the Shanghai composite index weighted average price of yield(R_M)the best effect,in the student's t distribution under the GARCH model to fit the Shenzhen composite index closing price yields(R_C1)effect is best,in the student's t distribution fitting PGARCH model under the Shenzhen composite index weighted average yield(R_M1)and Shenzhen composite index price difference yields(R_R1)works best,under the condition of normal distribution hypothesis PGARCH model fitting the Shanghai composite index price difference highly yield(R_R)works best.In addition,in the condition of the same risk,poor yields(R_R1)Shenzhen compositeindex price significantly higher than the Shanghai composite index(R_R),poor yields and good news to yield fluctuation will outweigh the bad news to yield fluctuation.