The Effectiveness Of Investment VaR Model Under The Fractal Distribution Of House Price Returns In Different Districts

There is a corresponding risk while investment buyers earn money and mainly through the price fluctuation, so investors will pay more attention to the risk of price fluctuations, and so its quantitative risk assessment is particularly important.VaR is a more mature tool that works on risk management, but few people used it to assess real estate price risk, which measures the precise degree of risk depends on the probability distribution of return on assets in the form of accurate fit. Traditional investment theory is based on the assumption of normal distribution study of price return on asset and measure risk. However, the real distribution of house price yield tend to have the feature of kurtosis and heavy-tails, and the normal distribution can not accurately describe them, we need to find new forms of distribution to match it. Research on probability distribution of real estate price yield has important practical significance to explore the assets, risk control and management of the real estate market. In the field of nonlinear, fractal distribution can break the traditional assumptions, and more accurately describes the actual distribution of the assets yield, distribution form can be introduced for reference.This paper bases on the fractal market theory, using comparative analysis, fractal analysis, distribution fitting analysis and empirical analysis to manage the house price yield time series distribution fitting and research the price volatility risk in Shenzhen.By comparing the efficient market theory and the fractal market theory, the qualitative analysis result of the fractal market theory is more suitable for explaining Shenzhen real estate development and house price. From the perspective of quatitative, using statistical analysis for house price yield time series in Shenzhen, through analysising its normality, steadiness, correlation, nonlinear characteristics, it verifys that house price yield time series is not random walk, the existence of nonlinear structure is found in house prices yield time series. The research uses Rescaled Range Analysis to analyze house price yield of Shenzhen, and relys on MATLAB7.11 software, finds that house price in Luohu, Futian, Nanshan has fractal feature and house price will rise in the future, so fractal market theory is proved to be more suitable for the analysis of the real estate market in Shenzhen.The research will fit the house price yield distribution, by fitting image, ?2 test and Dn test, finds that the fractal distribution can well fit the house price yield practical features and better deal with the kurtosis and heavy-tails.According to the above analysis, based on the establishment of fractal distribution and normal distribution VaR risk measurement model, and uses it to measure the risk of house price fluctuation in the three regions, and through Kupiec failure frequency test method to test the validity of the model.The final result shows that the fractal distribution of VaR risk measurement model can more accurately measure the risk of Shenzhen real estate price fluctuations. Until now, this article tries to solve the issue of fluctuation risk measurement assessment of the real estate investment in price, and bring an effective measure of price fluctuation model to the real estate investment decision-makers.