Empirical Study on National Equities Exchange and Quotations under Market-maker System with VaR method Based on GARCH Model
- 10.2991/essaeme-18.2018.5How to use a DOI?
- market-maker system, GARCH model, VaR method, risk measurement, NEEQ
This paper conducts empirical research and regulations on the risk of National Equities Exchange and Quotations under the market-maker system in China, and outlines the VaR method based on GARCH model after summarizing the domestic and foreign literatures on the risk measurement and control of NEEQ market-maker system, then performs empirical study on risk measurement of the market maker index of NEEQ, and verifing VaR values of the sample data with failure frequency test method based on the calculation of VaR values. The results show that VaR method based on the GARCH model can be effectively applied to the risk management of NEEQ under the market-maker system in China.
- © 2018, 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/).
Cite this article
TY - CONF AU - Xiangguo Jia PY - 2018/07 DA - 2018/07 TI - Empirical Study on National Equities Exchange and Quotations under Market-maker System with VaR method Based on GARCH Model BT - Proceedings of the 2018 4th International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2018) PB - Atlantis Press SP - 26 EP - 32 SN - 2352-5398 UR - https://doi.org/10.2991/essaeme-18.2018.5 DO - 10.2991/essaeme-18.2018.5 ID - Jia2018/07 ER -