Research on Financial Market Risks Based on VaR Model

Abstract

With the continuous development of the Internet financial industry, its impact on people's daily life is growing. Under the influence of the information technology and the financial innovation, the volatility of the financial market has been significantly enhanced, and the financial risk has become increasingly serious. The COVID-19 in 2020 still has a profound impact on the global financial market. The reasonable measurement of the financial risks is the most important step in the financial risk management. Based on the sample analysis of the Standard & Poor's 500 Index from January 3, 2013 to June 30, 2020, this paper measures the risks by analyzing and calculating the value at risk (VaR) of the sample data by different methods. This paper mainly establishes the ARMA model, the GARCH model based on bayese statistics, and the POT model based on the extreme value theory, and compares and analyzes the VaR values obtained by the three models. Finally, the effectiveness of VaR is tested by VaR backtracking test, and the advantages and disadvantages of the methods are compared and evaluated.