基于马尔科夫机制转换CAPM的VaR模型研究

Value—at—Risk Model Based on Switching Regime CAPM

摘要: 本文利用机制转换的CAPM模型来计算中国证券市场的VaR，首先回顾了机制转换模型，接下来介绍了基于马尔科夫机制转换CAPM的VaR模型(MSW—VAR)，最后选择深圳证券交易所的十支股票进行VaR计算，通过准确性检验显示效果良好。MSW—VAR模型能够满足系数时变和市场指数及组合的方差也是时变的市场特性，模型中的混合正态分布，可以拟合证券市场分布昀偏峰辱尾特征。

Abstract: This paper analyses the application of a switching volatility model to forecast the distribution of returns and eslimate the Value—at—Risk(VaR)．We calculate the VaR value for 10 SSE stocks．The VaR values calculated using the switching regime beta model are pleferred to other methods．The proportion of failure tests confirIDs this result．