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

被引：0
|
作者：
Xia, Shi [1 ]
机构：
[1] Baise Univ, Dept Math & Comp Engn, Guangxi Baise 533000, Peoples R China
来源：
EMERGING COMPUTATION AND INFORMATION TECHNOLOGIES FOR EDUCATION | 2012年 / 146卷
关键词：
Shanghai index; VaR; GARCH model;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
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.
引用
收藏
页码：299 / 308
页数：10
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