Measurement Of VaR Risk Value In Different Industries In Chinese Stock Market

For investors,whether it is the grasp of market situation or the judgment of stocks,can not be separated from the analysis of the industry.Because the stock market as a whole is composed of each industry,the trend and volatility of individual stocks are in line with the industry.Therefore,analysis of the industry can help investors make more effective decisions.The risk analysis for each industry can provide references for investors in industry analysis,asset allocation,investment decision-making,and decentralized risk strategies.Therefore,the objectives of this study are the risks of different industries.For the determination of risk,this paper uses the modern popular indicator VaR.The VaR index is most effective in measuring market risk,especially the risk caused by changes in asset prices or yields.Through VaR,can visually and quantitatively see the value of risk in different industries due to stock price changes.This article is based on the existing results of the improvement and supplement,through the combing of the literature and found that at the same time using a variety of methods to measure the VaR results of different industries have done less,so this paper made some attempts: common use Three methods were used to measure VaR: parameter method,historical simulation method,Monte Carlo simulation method,and three GARCH family models were added.In order to make the results more persuasive,this paper also takes three different values for the confidence level and the number of days in the VaR.A total of nine dimensions are used to measure the VaR values of different industries.Finally,a unified analysis of the results leads to a conclusion: The risk value of the information technology industry is the highest,followed by the cultural communications,integrated,and electronics industries;the risk value of the financial services industry is the lowest,and the risk values in the utilities,extractive industries,food and beverage,and pharmaceutical biotech industries are relatively low.