基于MRS-GARCH模型的VaR方法及其在上海股市的应用

近年来,许多国内学者运用基于GARCH-正态、GARCH-t、EGARCH等模型的VaR方法对中国股票市场的风险进行了分析,这些GARCH模型均为不考虑金融波动结构变化的波动模型。然而,我国的金融市场作为一个新兴的市场,其金融波动的结构变化是客观存在的。因此,本文提出了基于MRS-GARCH模型的VaR方法,并对中国上海股票市场的风险进行了实证分析,证明考虑了金融波动的结构变化的MRS-GARCH模型能够更好的刻画上海股票市场的波动特征,基于MRS-GARCH模型计算VaR值更加有效。

VaR Method Based on MRS-GARCH Model and Its Application in Shanghai Stock Market

In previous research papers,many researchers calculated value at risk based on GARCH-normal model,GARCH-t model,EGARCH model and so on.These models don't consider the presence of structural changes which lead to switches in volatility regimes.However,it is certain that there are structural changes in China's stock markets.As a result,we put forward MRS-GARCH model which takes the switches in volatility regimes into consideration.Then we calculate value at risk based on MRS-GARCH model using Shanghai stock market's data.From the empirical results,we conclude that it is more efficient to calculate value at risk based on MRS-GARCH model than other volatility models that don't consider the switches in volatility regimes.