Research on the risk of Shanghai Composite Index based on VaR and GARCH model

DOI

10.2991/essaeme-17.2017.375How to use a DOI?

Keywords

Shanghai Composite Index, VaR, GARCH model.

Abstract

Analyzing the risk of Shanghai Composite Index is beneficial to investors in stock investment, and provides reference for investors. This paper selects the daily data of Shanghai Composite Index from January 1, 2005 to December 30, 2016 as the research object, and uses VaR and GARCH model to empirically research the risk of Shanghai Composite Index. The results show that, through the fitting of different GARCH models, the EGARCH(1,1) model under the distribution can get the best fitting effect. Compared VaR measuring value and the failure probability of the inspection under different distribution, it can be found that the VaR measuring value under the t distribution has smaller volatility, higher accuracy, and minimal failure probability.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Bing Yang
AU  - Chenggang Li
AU  - Di Wang
AU  - Xin He
PY  - 2017/07
DA  - 2017/07
TI  - Research on the risk of Shanghai Composite Index based on VaR and GARCH model
BT  - Proceedings of the 2017 3rd International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2017)
PB  - Atlantis Press
SN  - 2352-5398
UR  - https://doi.org/10.2991/essaeme-17.2017.375
DO  - 10.2991/essaeme-17.2017.375
ID  - Yang2017/07
ER  -