基于状态转移波动模型的金融市场动态风险测度研究

测度金融市场动态风险VaR的一个关键在于如何准确刻画金融市场收益波动率。引入马尔可夫状态转移的ARCH（Regime switching ARCH，SWARCH）模型。构建出基于状态转移波动模型的金融市场动态风险测度模型，然后运用其对中国大陆上证综指和伦敦金融时报100指数的市场风险进行测度，并运用Back-testing中的似然比率检验方法（Likelihood Ratio Test，LRT）对金融市场风险测度的准确性进行检验。实证结果表明，基于SWARCH的风险测度模型，不仅能够准确测度不同类型金融市场的动态风险，而且在测度金融市场大风险方面展现出同样具有优越的测度能力。

Study on Dynamic Risk Measure of Finance Market Based on Switching-Regime ARCH Model

A key of finance market dynamic VaR（Value at Risk） measurement is exactly describle volatility of return. In this paper, we introduce to Markov Switching-Regime ARCH （Regime switching ARCH , SWARCH） to model volatility of financial return,then based on this model establish VaR measure method. We use VaR-SWARCH （k , q） model to measure the VaR of Shanghai Stock Exchange Composite SSEC and FTSE100 index, and test accuracy of risk measurement by back-testing. The emprieal results show that VaR-SWARCH（K ,q） model is not only able to measure dynamic risk of different type of finance market exactly,but also performance better than other risk measure method.