極值var方法测度上海与台湾股票指数的比较分析研究

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1、万方数据指导小组成员名单陈学彬教授刘红忠教授何光辉教授谢为安副教授陆前进副教授周光友副教授万方数据星旦太曼亟±墨焦釜塞撞值!丛友造型廑土塞基鱼美避基塑筮煎些整筮盘砑19I摘要在全球景氟低糜不振，各固提倡後廷经滂的旗鼓下，财政赤字货帑化，货帑相互兢贬，大犟量化宽鬏政策，造成资麈膨服，熟钱逃窳至相封安全、高收益的市埸之同，呈现的是全球金融市埸在匿率、利率及资麈儇格巨烈振温，崖生高度的波勤性，加大了金融凰除的骚生，促使圆隙同愈来愈重视金融凰隐管理。本文藉由棰值理输方法在VAR估值上的各项侵黠束比较上海股市及台湾股市在虑用棰值理输方法上的吴同，另外，在不同的桓值VAR模型之简的比较也

2、有助於筻遗在根摅自身的股票市埸特性、特徵，束遇挥最稳逋耆测度棰值凰除的模型。透通檀值理输一GARCH—GPD模型及BMM模型虑用於上海综合指敷舆台湾加榷指敦之寅遥研充研究结输鼹颓耦以下残黠：(1)上海综合指敦舆台湾加槿指敦的日封敷收益率，市埸尾端分布相似程度非常高。(2)尾端分布的形憋舍随畴同而燮化。(3)上海综合指数日封敦收益率的波勤程度相较於台湾加榷指敦日封敷收益率束得刺烈，所面酶的凰除也较高。(4)上海综合指敷日封敷收益率舆台湾加榷指敦日封敷收益率波勤的下行凰隐要高於上行收益。网键词：VAR棰值理输BMMGARCH—GPD2万方数据复旦塞墨塑±曼焦釜塞量僮!丛友鎏烫廑土

3、塞基鱼墨壁墨担筮敛堂整筮堑噩塞ABSTRACTINGLOBALBOOMLOWMINCEDSLUGGISH，STATESADVOCATESRECOVERYECONOMICOFBYFINANCIALDEFICIT，CURRENCYDEPRECIATEDCOMPETITIVELY，AGGRESSIVELYQUANTITATIVEEASINGPOLICY，CAUSEDASSETSEXPANSION，HOTMONEYFLEDTORELATIVESECURITY，ANDHIGHYIELDSOFBETWEENMARKETS，RENDERINGOFISGLOBALFINANCIALMARKE

4、TSINCURRENCY，ANDINTERESTRATEANDTHEASSETSPRICEGIANTSTRONGOSCILLATION，PRODUCEDHEIGHFLUCTUATIONSOFVOLATILITY，INCREASEDFINANCIALRISK．LEDINTERNATl0NALBETWEENINCREASINGLYATTENTIONFINANCIALRISKMANAGEMENT．THISARTICLETHROUGHTHEMETHODOFEXTREMEVALUETHEORYINTHEVARONTHEVALUATIONOFTHEBENEFITS，TOCOMPARESH

5、ANGHAIANDTAIWANSTOCKSINSIMILARITIESANDDIFFERENCESINAPPLYINGEXTREMEVALUETHEORYAPPROACH，INADDITION，ACOMPARISONBETWEENDIFFERENTEXTREMUMVARMODELSALSOHELPBILATERALACCORDINGTOITSOWNCHARACTERISTICS．CHARACTERISTICSOFTHESTOCKMARKET，SELECTTHEMOSTAPPROPRIATEMODELFORMEASURINGEXTREMERISKS．THROUGHTHEAPPL

6、ICATIONOFEXTREMEVALUETHEORYMODEL——GARCH—GPDMODELANDBMMMODELINTHESHANGHAICOMPOSITEINDEXANDTHETAIWANWEIGHTEDINDEXOFEMPIRICALRESEARCH．RESEARCHFINDINGSARECLASSIFIEDASTHEFOLLOWINGSEVERALPOINTS：(1)THESHANGHAICOMPOSITEINDEXANDTHETAIWANWEIGHTEDINDEXYIELDSTHEDAYLOGARITHM，SIMILARITYISVERYHIGHENDOFTHE

7、MARKETDISTRIBUTION．(2)THEREARENDOFTHEDISTRIBUTIONOFTHEFORMSMAYCHANGEOVERTIME．(3)THEDAYLOGARITHMYIELDSVOLATILESHANGHAICOMPOSITEINDEXCOMPAREDTOTHETAIWANWEIGHTEDINDEXYIELDSTHEDAYLOGARITHMISMOREDRAMATIC．FACINGRELATIVELYHIGHRISKS．(4)THEDAYLOGARITHMYIELDSOFTHE