Study of Shanghai Stock Market Based on EGARCH-t
This article utilizes EGARCH and VaR methods to study the risk characteristics and management problems in Shanghai stock market. Through fitting and analyzing the return of Shangzheng synthesis index, we prove that t-distribute can portray the characteristics of leptokurtosis and fatter tails. We evaluate the daily risk value of Shangzheng synthesis index based on EGARCH model on the condition of return obeying t-distribution. The conclusions are as following: EGARCH and VaR methods have important practical meanings in delineation and management of the risk in Shanghai stock market; Government should take measures to prevent relevant risks before issuing policies, intensify efforts for making the investors educated enough and take precautions against the market risk.
VaR EGARCH Risk t-Distribution Behavior Finance
Zongyuan Huang Xiaoyan Shen
Economics & Management School of Guangxi Normal University ＃15 Yucai Road of Guilin, Guangxi, China, 541004
国际会议
The 1st International Conference on Risk Analysis and Crisis Response(首届风险分析与危机反应国际学术研讨会)
上海
英文
456-461
2007-09-25（万方平台首次上网日期，不代表论文的发表时间）