Risk Comparison for Shanghai Stock Index in Two Stages

摘要：

In order to seek for effective methods avoiding risk and understand the relation between risk and regulatory news, Shanghai Stock Index in two classical stages is observed. The line of ratio of transaction and price is proposed to research the deviation phenomena of price and transaction. TGARCH model and IGARCH model are used to research the impact of news on return fluctuation. The value at risk and expected shortfall in two stages are compared. Empirical results show that a local crest comes when the deviation phenomena happens. Testing result by TGARCH model may be not significant when news impact on index inversely. By comparing values at risk in two stages, local crest can be found out

关键词： value at risk (VaR) TGARCH model volatility

作者: Shide Ou Danhui Yi

作者单位: School of Statistics, Renmin University of China, Beijing, China Department of Mathematics and Compu School of Statistics, Renmin University of China, Beijing, China

会议类型: 国际会议

会议名称: 2010 International Conference on Information Technology and Industrial Engineering(2010年信息技术与工业工程国际学术会议 ITIE 2010)

会议地点: 武汉

会议语种:英文

页码: 350-355

在线出版日期: 2010-06-06（万方平台首次上网日期，不代表论文的发表时间）