基于GARCH模型的VaR方法在沪深300ETF风险测量的应用

摘要

交易所交易基金(ETF)在国际社会上被认为是长线投资、价值投资,规避风险的良好金融工具。中国股市投机炒作风气历来盛行,因此在投资领域有必要增强投资者对 ETF的认知度和接受度。选用嘉实沪深300ETF作为研究对象,其所追踪的沪深300指数覆盖面广,基本体现中国沪深两市股市的收益状况。从其风险入手,运用 GARCH 模型研究分析得出该基金收益率的有效条件方差并结合 VaR 方法准确测量其风险价值,最终确定在95%的置信水平下GARCH(2,1)-t-分布模型能够最佳度量其风险价值。%Exchange traded fund in the international community is considered to be a long-term investment,value investment,risk aversion of good financial instruments. But at present in our country,ETF is still a new thing to most investors. Speculation in the Chinese stock market has always been popular,this paper believes that the need to enhance the investment in the field of ETF recognition and acceptance of investors. This thesis chooses the Jiashi CSI 300 ETF as the research object,it tracks the Shanghai and Shenzhen 300 index basic reaction to China's Shanghai and Shenzhen two city stock market earnings. The from the risk of GARCH model is applied to analysis the fund yields the conditional variance and VaR method to accurately measure the risk value,finally determined in 95% of confidence level GARCH (2,1)loyalty distribution model to meas-ure the risk value.