The VaR Method Based on GARCH Model in Risk Analysis of Chinese Stock Market
By selecting the closing price data of Hushen 300 Index from January 1,2011 to May 14,2015,the return rate series are calculated. And by using GARCH model,the variance of return series is estimated in order to get the VaR value of the Hushen 300 Index. By making the comparison chart of daily VaR values with10% daily maximum loss and daily actual loss,the effectiveness of VaR value is proved. Then the accuracy of the VaR value is proved by back testing. Finally,the conclusion is drawn that the VaR value estimated by GARCH( 1,1) model has a good assessment of the Hushen 300 Index or other individual stocks. GARCH( 1,1)model has a general applicable characteristic. However,when there is bull market or the unreasonable environment,the VaR estimation error rate will rise.