Research on the Risk of Shanghai Composite Index Based on VaR and GARCH Model

摘要：

　　Analyzing the risk of Shanghai Composite Index is beneficial to investors in stock investment,and provides reference for investors.This paper selects the daily data of Shanghai Composite Index from January 1,2005 to December 30,2016 as the research object,and uses VaR and GARCH model to empirically research the risk of Shanghai Composite Index.The results show that,through the fitting of different GARCH models,the EGARCH(1,1)model under the t distribution can get the best fitting effect.Compared VaR measuring value and the failure probability of the inspection under different distribution,it can be found that the VaR measuring value under the t distribution has smaller volatility,higher accuracy,and minimal failure probability.

关键词： Shanghai Composite Index VaR GARCH model

作者: YANG Bing LI Chenggang WANG Di

作者单位: Guizhou University of Finance and Economics Guiyang550025,China

会议类型: 国内会议

会议名称: 2017中国保险与风险管理国际年会

会议地点: 广西桂林

会议语种:英文

页码: 801-809

在线出版日期: 2017-07-19（万方平台首次上网日期，不代表论文的发表时间）