中文摘要：

利用SV-N模型、SV-t模型和SV-GED模型对深证综指和上证指数数据进行仿真分析,用预测参数估计得到的波动率计算var值并与相应实际指数收益率进行比较。研究结果表明,上证指数和深证综指都表现出强的波动持续性,且深证股市的波动水平比上海股市要大,风险也要高。并且,基于GED分布的SV模型能更好的反映沪深股市风险。

英文摘要：

The Gibbs sampler algrorithm prodedure is introduced. And a Markov chain Monte Carlo algorithm prodedure with Gibbs sampler is designed to estimate the model parameter of SV model. After comparative analysis, Shanghai and Shenzhen Stock markets all display strong volatility persistence are found. But Shanghai Stock market has the stronger volatility persistence to Shenzhen Stock market. But the volatility persistence level of Shenzhen Stock market is bigger than Shanghai Stock market ,in other words , the risk is higher. The results show that the SV-GED model is the best to describe the market risk in Chinese stock markets.