Studies of Stock Market Discrete Event Risk Based on Asymmetric Effect Models

A discrete event risk model based on asymmetric stock return models was investigated in this paper. In this model, discrete event risk was described by random jump-diffusion process and the asymmetric effect was described by GJR-GARCH (generalized autoregression conditional heteroscedasticity) model. The model´s parameters were estimated by simulated annealing algorithm. By simulation method, the distribution of intending return and the interval estimation value was obtained. The empirical study on index of Shanghai and Shenzhen security markets shows it´s reasonable and necessary to incorporate discrete event risk to asymmetric stock return model