【摘要】 应用SV模型 (随机波动模型 )来度量中国股票市场的风险 ,并基于沪市的历史数据进行了实证检验。结果表明SV模型对中国股市风险的度量有着较好的效果 ,明显优于GARCH模型 ,对我国股票市场的数据有着较好的刻画能力更多还原

【Abstract】 This paper proposes a stochasitc model to estimate the VaR of Shanghai 180 index. It is compared with GARCH models based on normal distribution. With the dynamic back-testing of historical daily return series,it can be found stochastic volatility model obviously outperforms GARCH models in forecasting one-day ahead VaR,and stochastic model is more suitable in measuring the risks of China’s financial market.更多还原