近几年来，我国券商资产管理业务取得了突飞猛进的发展，然而相应的风险管理学术研究较少。为了研究券商资管市场的风险管理VaR方法，本文选取股票型券商理财指数作为数据处理对象，假定模型的扰动项分别服从正态分布、t分布、广义误差分布、偏t分布、偏广义误差分布，采用单一状态GARCH族模型（GARCH模型、EGARCH模型、GJR-GARCH模型、APARCH模型）对数据进行建模。之后，文章在GARCH模型中引入马尔可夫状态转换过程，构建MS-GARCH模型，建模结果显示券商资管市场存在明显的高波动和低波动两种状态，且处于低波动状态的持续时间更长。通过与单一状态GARCH族模型进行对比，发现MS-GAR...In recent years, securities asset management market experienced rapid growth, however, related academic research is deficient. Therefore, this paper studied VaR method based on MS-GARCH model empirically on securities asset management market. First, we constructed one single state GARCH models, that is, GARCH model, EGARCH model, GJR-GARCH model and APARCH model, with normal distribution, t distri...学位：应用统计硕士院系专业：经济学院_应用统计硕士学号：1542013115204
