基于GARCH模型和SV模型的VaR 比较

简单介绍了VaR 的含义及计算方法,指出推测市场因子的波动情况是计算VaR 的关 键. 通过对比GARCH 和SV 模型,得出SV 模型更能刻画金融市场的实际特征. 将随机波动SV 模型应用于VaR 的计算,最后作实证研究. 通过与GARCH 模型下的结果对比,说明基于SV 模 型计算的VaR 更具有动态性和准确性,VaR 更贴切地反映了金融市场的风险水平

Comparison of VaR based on GARCHand SV models

This paper reviews the concept and the calculating method of Value at Risk( VaR) and points out the im2 portance of predicting the volatility of market factor for calculating VaR. Compared with GARCH models , SV model is superior to describe the characters of financial market . A SV model is used to define the volatility which is needed to estimate VaR. The experimental research manifest that the SV model predicts the volatility of market return per2 fectly and the following VaR reflect the risk level of Chinese stock market properly.