Risk Measurement of China's SME Board Market Based on GARCH-VaR
- Mengnan Wang, Liang Dai
- Corresponding Author
- Mengnan Wang
Available Online September 2018.
- https://doi.org/10.2991/icsshe-18.2018.212How to use a DOI?
- SME board, GARCH model, VaR, Normal distribution, T distribution
- The GARCH model can describe the dynamic characteristics of the stock market yield better, but the conclusion of the analysis is not the same because of the different sample data selected by the research. On the basis of the research at home and abroad, this paper selects the China's SME board index which is more familiar to investors, selects the closing price data from June 1, 2006 to June 1, 2017, uses three different types of models, such as GARCH, EGARCH, TARCH, and so on. Under the normal distribution, the students' distribution and the GED distribution, the order of return is the order of return. The column data are fitted and the estimated results are compared and analyzed. It is found that China's SME board index has a more obvious ARCH effect, which is characterized by stationarity, non-normality, peak and thick tail. By comparing the VaR values under different GARCH models, it is found that the GARCH model under the assumption of t distribution can better reflect the risk of China's SME board market. Thus, the overall situation and risk characteristics of the income distribution in the SME board market in China are better obtained, so as to provide the appropriate risk measurement model and decision basis for the developing SME board market.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Mengnan Wang AU - Liang Dai PY - 2018/09 DA - 2018/09 TI - Risk Measurement of China's SME Board Market Based on GARCH-VaR BT - 2018 4th International Conference on Social Science and Higher Education (ICSSHE 2018) PB - Atlantis Press SN - 2352-5398 UR - https://doi.org/10.2991/icsshe-18.2018.212 DO - https://doi.org/10.2991/icsshe-18.2018.212 ID - Wang2018/09 ER -