A Research on the Distribution of Chinas Stock Market Returns and VaR Estimation
This article aims to the distribution characteristics of the geometric rate of return of SH180 index and Shenzhen component index. The results show that SH180 Index and Shenzhen Component Index both have fat tail characteristic of the non-normal distribution. Therefore,the value of VaR cannot use the normal distribution model but the GARCH-GED model to estimate. Estimation results show that the investment risk of the Shenzhen Component Index is high than the Shanghai 180 Index.
Return of the stock market Characteristics of the distribution VaR estimation
WANG Baoqian WANG Fengxian
School of Business, Hohai University, P.R.China, 211100
国际会议
The Sixth International Symposium on Corporate Governance(第六届公司治理国际研讨会)
大连
英文
330-334
2011-08-20（万方平台首次上网日期，不代表论文的发表时间）