Dynamic La-VaR Model And Its Risk Measurement In Individual Stock

There is bound to be a very weak market liquidity precursor before the global stock crisis,that is,holding positions can not be quickly realized at reasonable prices and at lower costs.It has been proved that stock liquidity is also the main source of investment risk,which seriously affects the pricing of assets and the expected return of investors in the securities market,and not only helps to enliven the stock market and stabilize the market price,but also,more importantly,can ensure the normal operation of the market.There is also a liquidity risk premium in the Chinese securities market,and most of the liquidity risk is not compensated accordingly,mainly because the lack of understanding of liquidity leads to the inability to accurately price liquidity risk.Traditional danger The value VaR takes into account only the losses that the stock price fluctuation may cause the asset to face during the holding period,but ignores the change in the liquidity cost caused by the stock and market liquidity shock during the liquidation period.Especially when the whole stock market is illiquid,the continued use of VaR will magnify the underestimation of the extent of the loss,give an accurate assessment of the liquidity risk,which is important for the investment theory and practice circles.This paper summarizes and analyzes the research process of the liquidity index and risk in the securities market,and systematically analyzes the mechanism of the operation of the securities market.Using the market risk(BDSS value)measurement technology of Bangia(1998)liquidity adjustment,the traditional BDSS model is optimized by combining price quantity index and VaR idea to establish the La-VaR model to measure and predict the loss risk that Chinese investors may face in the transaction.At the same time,the basic principle and calculation process of La-VaR model are given in detail and the MCMC method of Gibbs sampling is used to estimate the unknown parameters SV the discrete volatility model.good market risk measurement index adjusted by liquidity can be obtained,and it has a good robustness effect in the actual liquidity risk evaluation.La_VaR model is also used to measure the loss risk of a single transaction.The results show that :(1)the market maker's theory of price difference is suitable for analyzing the Chinese securities market.(2)The results show that there is a strong aggregation of the fluctuation of the earnings of the stocks in China,indicating that the current high volatility level will not return to the lower volatility level quickly,but will continue to maintain higher volatility in several time periods;(3)the La-VaR model of SV model type has better non-condition coverage.More importantly,the volatility estimation method can accurately characterize the distribution of risk factors,and the overflow situation of the model is more random;(4)the risk of loss will be seriously underestimated VaR only considering pricefluctuation ignoring liquidity risk.Bangia(1998),the proposed BDSS model can not prepare for personal loss in advance,and the optimized La-VaR model measures individual stock loss risk more comprehensively.So from the above point of view,combined with the spread and become La-VaR model of traffic change has good robustness,which can effectively and comprehensively reflect the goal of risk management,and has good guiding significance for risk hedging institutions.There are two main innovations in this paper :(1)the liquidity measurement index and market equilibrium price difference theory suitable for China's securities market are summarized,and the liquidity risk caused by the fluctuation of the price difference is applied to the market risk measurement modeling caused by the price fluctuation;(2)the Bayesian sampling method is used to accurately measure the sequence volatility,which can be used for reference for financial institutions.