基于波动率调整的历史模拟法对细分农业指数的VaR风险测量

自2015 年普惠金融政策明确提出以来，我国的农业发展速度大幅提升，这些利好消息也使 得投资者对于农业市场纷纷看好，然而农业板块市场的风险也随之增加。本文选取了2011 年10 月18 日-2020 年3 月27 日的细分农业指数，运用波动率调整的历史模拟法计算细分农业指数的VaR，整体 地测量了农业板块地股市风险，同时也为农业市场风险管理和投资者提供了参考依据。

Risk Measurement of Agricultural Index’s VaR Based on Volatility Adjusted Historical Simulation

Since the inclusive financial policy was clearly put forward in 2015, the speed of China's agricul? tural development has been greatly improved. This paper selects the agricultural index from October 18, 2011 to March 27, 2020 to calculate the VaR of the agricultural index with volatility adjusted historical simu? lation, providing reference for investors and the risk management of the agricultural market.