基于GARCH类模型对我国股市风险度量

The Risk Measurement of Chinese Stock Market Based on GARCH Class Model

摘要: 股市作为国家财政的关键支柱，不仅为经济发展提供了必要的资金支持，而且其表现也是衡量经济健康状况的重要指标。国家经济的繁荣在很大程度上依赖于股市的稳定性和增长潜力，因此，维护股市的稳健运作，对于推动国家经济实现持续而健康的增长至关重要。本文选取了中国股市中具有代表性的上证800指数的日对数收益率序列作为研究样本，运用GARCH模型进行深入分析。通过在多个置信水平上预测VaR值，研究结果表明该模型能够有效地捕捉和预测收益率的波动特性。这一发现不仅证实了GARCH模型在金融市场风险评估与预测中的适用性，而且为投资者和监管机构提供了一种科学的风险管理工具。通过精确预测市场波动，该模型有助于提高投资决策的准确性，同时增强市场的整体稳定性，从而为经济的长期健康发展提供坚实的基础。

Abstract: As a key pillar of the national finance, the stock market not only provides the necessary financial support for the economic development, and its performance is an important indicator of economic health. The country’s economic prosperity depends to a large extent on the stability and growth potential of the stock market. Therefore, the maintenance of a sound operation of the stock market, to promote the national economy to achieve sustained and healthy growth is essential. In this paper, we select the typical Shanghai 800 index in China’s stock market, and use its daily logarithmic return series as a research sample, using GARCH model for in-depth analysis. By predicting VaR at multiple confidence levels, the results show that the model can effectively capture and predict the volatility of returns. This finding not only confirms the applicability of GARCH model in financial market risk assessment and prediction, but also provides a scientific risk management tool for investors and regulators. By accurately predicting market fluctuations, the model can improve the accuracy of investment decisions and enhance the overall stability of the market, thus providing a solid foundation for long-term healthy economic development.