由于我国证券市场起步较晚,市场机制还不健全,政府经常用政策来对市场进行调控。由于政策的出台对证券市场的风险有很大的影响,所以需要对政策的传导过程进行了解和掌握。本文通过建立GARCH模型,用VaR的方法来分析我国证券市场中政策的传导效应,并提出相应的政策建议。 Due to the late start of China’s securities market, the market mechanism is still not perfect, and the government often uses policies to regulate the market. Since the promulgation of the policy has a great impact on the risk of the securities market, we need to understand and grasp the process of policy transmission. This article through the establishment of GARCH model, using VaR method to analyze the conduction effect of the policy in the securities market in our country, and put forward the corresponding policy recommendations.