【摘要】 测度金融市场动态风险VaR的一个关键在于如何准确刻画金融市场收益波动率。引入马尔可夫状态转移的ARCH(Regime switching ARCH,SWARCH)模型,构建出基于状态转移波动模型的金融市场动态风险测度模型,然后运用其对中国大陆上证综指和伦敦金融时报100指数的市场风险进行测度,并运用Back-testing中的似然比率检验方法(Likelihood Ratio Test,LRT)对金融市场风险测度的准确性进行检验。实证结果表明,基于SWARCH的风险测度模型,不仅能够准确测度不同类型金融市场的动态风险,而且在测度金融市场大风险方面展现出同样具有优越的测度能力。更多还原

【Abstract】 A key of finance market dynamic VaR(Value at Risk) measurement is exactly describle volatility of return.In this paper,we introduce to Markov Switching-Regime ARCH(Regime switching ARCH,SWARCH) to model volatility of financial return,then based on this model establish VaR measure method.We use VaR-SWARCH(k,q) model to measure the VaR of Shanghai Stock Exchange Composite SSEC and FTSE100 index,and test accuracy of risk measurement by back-testing.The emprical results show that VaR-SWARCH(K,q) model is not only able to measure dynamic risk of different type of finance market exactly,but also performance better than other risk measure method.更多还原