A Dynamic Computing Research for Value at Risk (VaR) of Shanghai Stock Market Based on the GARCH Model

Conference paper
Part of the Advances in Intelligent and Soft Computing book series (AINSC, volume 146)


This paper selects the Shanghai index of 2006 listed companies after share-trading reform, to analyze the VaR of Shanghai stock market based on GARCH model under different distribution assumptions. The results show that the difference of distribution hypothesis has a great impact on the VaR based on GRACH model. The VaR of Shanghai stock market after share-trading reform can be better calculated after using GRACH model; the VaR got under T-distribution assumptions is too conservative, which a bit overstated risk; the VaR estimations under normal distribution, generalized error distribution (GED) have no big difference and both underestimated risk.


Shanghai index VaR GARCH model 


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. 1.
    Gong, R., Chen, Z.C., Yang, D.R.: To Evaluate VaR of China Stock Marketing Comparatively by Using GARCH Family Model and Comment. J. Quanti. Tech. Eco. 7, 67–81 (2005)Google Scholar
  2. 2.
    Chen, S.D., Yu, D.S.: Analysis of China’s Stock Market Using VaR Method Based on GARCH Model. J. Jilin. Uni. Social Sci. 4, 11–17 (2002)Google Scholar
  3. 3.
    Xu, W., Huang, Y.L.: Empirical Analysis on GARCH-type Models and VaR. J. Quanti. Tech. Eco. 1, 120–132 (2008)MathSciNetGoogle Scholar
  4. 4.
    Bollerslev, T.: Generalized Autoregressive Conditional Heteroskedasticity. J. Eco. 31, 307–327 (1986)MathSciNetMATHGoogle Scholar
  5. 5.
    Philippe, J.: Value at Risk The Benchmark for Managing Financial Risk, 2nd edn. McGraw-Hill, New York (2006)Google Scholar

Copyright information

© Springer-Verlag GmbH Berlin Heidelberg 2012

Authors and Affiliations

  • Shi Xia
    • 1
  1. 1.Department of Mathematics and Computer EngineeringBaise UniversityBaiseChina

Personalised recommendations