通过介绍选题背景及国内外文献综述,探讨股票市场风险管理的Va R理论,并对上证综合指数进行了实证分析。实证分析在数据检验的基础上,采用广义误差分布(GED)下的指数广义回归条件异方差(EGARCH)模型对上海证券综合指数日收益率数据进行拟合,计算出对应的Va R值,对结果进行检验和分析,发现该模型很利于股市风险的刻画。 By introducing the background of the selected topics and the literature review at home and abroad, this paper discusses the VaR theory of stock market risk management and makes an empirical analysis of the Shanghai Composite Index. Empirical Analysis On the basis of data validation, we use the EGARCH model under the generalized error distribution (GED) to fit the daily return data of the Shanghai Composite Index, and calculate the corresponding Va R value. The results of testing and analysis, found that the model is conducive to characterize the stock market risk.