A Calculation of VaR and CVaR Based on ARMA-GARCH Model

Based on ARMA-GARCH model,the formula for calculating the risk of the value of VaR and the value at risk conditions of CVaR are given,respectively,in the standard normal distribution,student'T distribution,Skewed-T distribution,the generalized error distribution model under the condition of numerical simulation. Simulation results show that the use of ARMA-GARCH model can more accurately estimate VaR and CVaR.At last we use Shanghai Stock Index and Datong Coal stock close of empirical data analysis,results showed that with a given probability level p reduction,VaR and CVaR values increase;the same probability for a given level,the value of CVaR are bigger than that of VaR,so CVaR risk measure is better than VaR.