A Research in Performances of Non-normal ARCH Type Models and of VaR Measure

摘要：

This paper, taking the Shanghai Stock Exchange (SSE) Composite Index as the sample, constructs ARCH models under the assumptions of normal residuals and non-normal residuals and compares the forecast performances of volatility of normal and non-normal ARCH models and the performance of VaR measure to demonstrate the effects of the distribution assumptions on GARCH models forecasting ability and risk measure.

作者: Xiaoyong Zhang Min Yu

作者单位: School of Business Administration, Hunan University, Changsha, 410082, China

会议类型: 国际会议

会议名称: The Second International Joint Conference on Computational Science and Optimization(CSO 2009)(2009 国际计算科学与优化会议)

会议地点: 三亚

会议语种:英文

页码: 1632-1636

在线出版日期: 2009-04-24（万方平台首次上网日期，不代表论文的发表时间）