A Calculation of VaR Based on GARCH Model

Author

Liu, Yan-Chun ; Li, Ming

Author_Institution

Coll. of Bus. Adm., Liaoning Normal Univ., Dalian

Volume

1

fYear

2006

Firstpage

648

Lastpage

651

Abstract

This paper reviews the meaning and calculating methods of VaR and puts forward GARCH model to improve the estimation of VaR. GARCH model overcomes the defects of volatility without considering market factors in conventional analysis methods of VaR. We demonstrate that VaR based on GARCH model has good dynamics and accuracy. Finally, through the analysis of the actual data of Shanghai Securities Exchange and the test of likelihood ratio, we conclude that GARCH model precisely reflects the volatility of market factors and VaR based on GARCH properly reflects the risk level of finance market

Keywords

autoregressive processes; risk analysis; securities trading; GARCH model; Shanghai Securities Exchange; VaR calculation; finance market; generalized autoregressive conditional heteroscedasticity model; market factors; value at risk calculation; Art; Data security; Educational institutions; Finance; Information science; Mathematical model; Portfolios; Reactive power; Stochastic processes; Testing; GARCH model; Stochastic volatility; Value at Risk (VaR);

fLanguage

English

Publisher

ieee

Conference_Titel

Service Systems and Service Management, 2006 International Conference on

Conference_Location

Troyes

Print_ISBN

1-4244-0450-9

Electronic_ISBN

1-4244-0451-7

Type

conf

DOI

10.1109/ICSSSM.2006.320538

Filename

4114509