A Dynamic Computing Research for Value at Risk (VaR) of Shanghai Stock Market Based on the GARCH Model
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.
KeywordsShanghai index VaR GARCH model
Unable to display preview. Download preview PDF.
- 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.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
- 5.Philippe, J.: Value at Risk The Benchmark for Managing Financial Risk, 2nd edn. McGraw-Hill, New York (2006)Google Scholar