The Application Of VaR And CVaR Based On GARCH Models In The Market Risk Measurement Of China's SME Board

The uncertainty of future benefits is called risk,but because of many unstable factors,we can not determine the final value of the portfolio and its final income,which is called financial risk.Generally,the loss caused by risk is the focus of our attention,so we call "the possibility of loss caused by the uncertainty of earnings" as risk.The increasing integration of the global economy and the continuous integration of financial markets make financial markets more complex.Now scholars and practitioners at home and abroad focus on how to effectively manage financial risks.The core of risk management is financial risk measurement,which measures the loss of financial assets caused by the change of market factors.At present,most of the financial market risk measurement methods are sensitivity method,mean variance analysis,VaR method and volatility method.At present,the international mainstream risk measurement method is VaR Measurement Method and its improved model,which is widely used in risk management of financial institutions,as well as in the risk measurement of stock,bond and other financial markets.In this paper,the VaR method based on GARCH model and the improved CVaR method based on VaR method are adopted.The purpose of the establishment of SME board in China is to pave the way for the establishment of GEM market.China's small and medium-sized board market has a variety of shortcomings,with strong volatility and high risk characteristics,due to the monopoly of information,the disorder of market competition,the imperfect operation mechanism and other reasons.This paper makes an empirical analysis on the market risk of the small and medium-sized board market,so as to draw a conclusion and put forward corresponding suggestions according to the conclusion.This paper selects the daily logarithm yield of the SME board composite index from January 2010 to December 2019 as the sample data.This paper introduces the risk and risk measurement method of small and medium-sized board market,analyzes the risk of small and medium-sized board market at present,and expounds the concept,calculation theory and application of VaR and CVaR based on GARCH model.The sample object of this paper is the daily closing price of the composite index of China's small and medium-sized board market,and enumerates its yield as empirical data,analyzes its main statistical characteristics,and carries out the normal test,the stability test,the autocorrelation test and the conditional heteroscedasticity test,laying the foundation for the establishment of the model.The GARCH,EGARCH and TGARCH models were established based on normal distribution,t distribution and GED distribution by using Eviews software,and the parameter significance test and arch-lm test were carried out.After selecting the appropriate model,we can get the variance by one-step prediction,calculate the VaR value based on each model,and make a comparative analysis.Finally,we test the final result of the empirical study with the failure test method of VaR estimation value,and calculate the CVaR value,and carry out the test.The data of Shenzhen A-share composite index is compared with that of small and medium-sized board composite index,and Granger causality test is carried out to find the relationship between the small and medium-sized board market and the main board market.According to the analysis of the empirical results,we should consider what aspects investors need to consider when they conduct investment behavior,and how to reduce the risk to the minimum,so as to enable the healthy development of the small and medium-sized board market in China.