Author(s)

Chang Cheng, Wenbin Bao

Corresponding Author

Chang Cheng

Abstract

VaR method is an effective financial market risk measurement tool. In this paper, we estimate conditional heteroscedasticity of return series based on GARCH model, aiming at the observed volatility clustering and the trailing peak and tail characteristics of return series in financial markets. On this basis, the full valuation Monte Carlo simulation method is used to simulate the change path of the Shanghai-Shenzhen 300 index and calculate its risk value. Finally, the simulation results are tested by return, which proves its validity.

Keywords

VaR Method, Garch Model,Monte Carlo Simulation