Title :
Risk measure under impact of news
Author :
Ou, Shide ; Yi, Danhui
Author_Institution :
Sch. of Stat., Renmin Univ. of China, Beijing, China
Abstract :
In order to find effective methods measuring stock market risk, Shanghai Stock Indices are observed by positive news and negative news. The impact of news on return volatility is researched by heteroskedasticity models. Empirical research shows that under circumstance of positive news, bad news only reduces current return volatility, while the relationship between return and variance is not notable. Under the circumstance of negative news, bad news results in volatility growth, the relationship between return and variance isn´t also notable. By comparing, we find out that there is large difference between values at risk under different circumstances. Finally we propose the method estimating by hierarchical level. Simulation results show that it is effective.
Keywords :
information resources; risk analysis; stock markets; Shanghai Stock Indices; heteroskedasticity model; news impact; return volatility; risk measurement; stock market risk; value at risk; volatility growth; Biological system modeling; Equations; Estimation; Mathematical model; Parameter estimation; Stock markets; Testing; heteroskedasticity model; value at risk (VaR); volatility;
Conference_Titel :
Fuzzy Systems and Knowledge Discovery (FSKD), 2010 Seventh International Conference on
Conference_Location :
Yantai, Shandong
Print_ISBN :
978-1-4244-5931-5
DOI :
10.1109/FSKD.2010.5569276
