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Erschienen in:
2012 | OriginalPaper | Buchkapitel
A Dynamic Computing Research for Value at Risk (VaR) of Shanghai Stock Market Based on the GARCH Model
verfasst von : Shi Xia
Erschienen in: Emerging Computation and Information teChnologies for Education
Verlag: Springer Berlin Heidelberg
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This paper selects the Shanghai index of 2006 listed companies after share-trading reform, to analyze the VaR of Shanghai stock market based on GARCH model under different distribution assumptions. The results show that the difference of distribution hypothesis has a great impact on the VaR based on GRACH model. The VaR of Shanghai stock market after share-trading reform can be better calculated after using GRACH model; the VaR got under T-distribution assumptions is too conservative, which a bit overstated risk; the VaR estimations under normal distribution, generalized error distribution (GED) have no big difference and both underestimated risk.