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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)

Abstract

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.

Keywords

Shanghai index VaR GARCH model 

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References

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Copyright information

© Springer-Verlag GmbH Berlin Heidelberg 2012

Authors and Affiliations

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

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