Empirical Analysis on the VaR of Chinas Stock Market Based on GARCH Family Models

摘要：

For the heavy tailed distribution of returns in China s stock markets, there are defects in using the traditional model to estimate the VaR. GARCH model can deal with heavy tailed distribution and describe the fluctuations of stock price well. This paper carries out an empirical analysis with the VaR method based on GARCH family models. The results show that the GARCH family models are useful tools to estimate the risk level of stock market.

关键词： vaule-at-risk diferent variance GARCH model

作者: Weidong Li

作者单位: School of Economics & Management, Beijing Jiaotong University, Beijing, 100044, China

会议类型: 国际会议

会议名称: 第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)

会议地点: 武汉

会议语种:英文

页码: 1326-1331

在线出版日期: 2009-05-30（万方平台首次上网日期，不代表论文的发表时间）