基于VaR-GARCH模型证券投资分析研究 财务会计学专业VIP专享

摘 要近年来我国经济快速发展，国民收入大幅度增加，资金流不断灌入证券市场。其中融资融券也就是证券信用交易，本作为各国股票市场中重要的交易制度，对于完善股票市场的资源配置功能起到相当重要的作用。而证券投资风险是金融风险的重要组成部分，股市或者汇市的崩溃可能会引发金融危机甚至经济危机。因此，研究证券投资市场风险的分析和控制，对控制金融风险、稳定金融秩序有着十分重要的意义和价值，也为投资者提供了降低风险损失的依据。而我国股票市场交易形式非常单一，融资融券机制能发掘出股票的内在价值、抑制股票市场的投机活动、提高市场流动性竞争力和交易活跃性等作用。 对上证指数和深圳综指的正态性检验和波动聚集性检验表明股票收益具有明显的序列相关和条件异方差性。通过 MATLAB 软件和 eviews 软件，采用蒙特卡罗模拟法来计算基于传统理论和基于 GARCH 的 VaR 值，并利用失败频率检验法检验模型效果。结论显示在 95%置信水平下，传统模型能较好拟合风险情况，但在 97.5%和 99%的高置信水平下，传统模型低估了实际风险，而VaR-GARCH 模型能够较好的刻画实际风险，充分反应了投资者的损失厌恶心理。【关键词】 股票市场 风险因素 证券投资 VaR-GARCH 模型 AbstractIn recent years， our country’s economy has developed rapidly， national income has increased substantially， and capital flows have been poured into the securities market. Among them ， margin financing and securities lending， which is an important trading system in the stock markets of various countries ， plays an important role in improving the resource allocation function of the stock market. The risk of securities investment is an important part of financial risk. The collapse of the stock market or currency market may trigger a financial crisis or even an economic crisis. Therefore， studying the analysis and control of securities investment market risk has very important significance and value for controlling financial risks and stabilizing the financial order. It also provides investors with the basis for reducing risk l...