About Us   |   Contact Us
An International Publisher for Academic and Scientific Journals
Author Login 
 Author Login
Submit Manuscript
Join Membership
Join As Reviewer
Join As Editor
Pay Publication Fee
Subscribe Hard Copy
Scholars Journal of Economics, Business and Management | Volume-2 | Issue-10
Risks Measurement and Analysis of Shanghai Stock Market Index Based on GARCH-VaR Model
Yuxue Wang, Jingwen Zhang
Published: Oct. 30, 2015 | 85 64
DOI: 10.36347/sjebm.2015.v02i10.007
Pages: 1017-1020
Downloads
Abstract
This paper adopts conditional heteroscedasticity of GARCH and variance-covariance of VaR calculation method to measure VaR. This paper builts through rate of monthly return in Shanghai stock market within ten years. EGARCH-GED Model is selected to calculate VaR value at risks of Shanghai stock market under three confidence levels such as 90%, 95% and 99%.