VaR method based on event risk is investigated in this paper, and empirical study on the index of Shanghai security market is made.
本文讨论了考虑事件风险的资产的在险价值方法，并以此对上海股票指数作了实证研究。
The paper studied how to apply the theory of extreme value to the VAR method to rise the degree of estimating precise, and made empirical analysis.
论文研究了如何将极值理论与VAR计算方法相结合进行应用以提高计量精度，并对其作了实证分析。
It adopts the var method to get the co-integrated equation, and discusses the dynamic process with the techniques such as VECM, impulse response and variance decomposition.
具体的实证方法是采用VAR方法，在得出协整方程下，再进一步采用误差修正、脉冲响应、方差分解等技术来探讨汇率的动态变化过程。
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