Title :
A Research in Performances of Non-normal ARCH Type Models and of VaR Measure
Author :
Zhang, Xiaoyong ; Yu, Min
Author_Institution :
Sch. of Bus. Adm., Hunan Univ., Changsha, China
Abstract :
This paper, taking the Shanghai Stock Exchange (SSE) Composite Index as the sample, constructs ARCH models under the assumptions of normal residuals and non-normal residuals and compares the forecast performances of volatility of normal and non-normal ARCH models and the performance of VaR measure to demonstrate the effects of the distribution assumptions on GARCH model´s forecasting ability and risk measure.
Keywords :
autoregressive processes; forecasting theory; stock markets; ARCH model volatility; GARCH model forecasting ability; Shanghai Stock Exchange Composite Index; VaR measure; distribution assumption; generalized autoregressive conditional heteroskedasticity; nonnormal ARCH type model; nonnormal residual; normal residual; risk measure; Distributed computing; Economic forecasting; Economic indicators; Gaussian distribution; Investments; Performance evaluation; Predictive models; Probability distribution; Reactive power; Stock markets;
Conference_Titel :
Computational Sciences and Optimization, 2009. CSO 2009. International Joint Conference on
Conference_Location :
Sanya, Hainan
Print_ISBN :
978-0-7695-3605-7
DOI :
10.1109/CSO.2009.446
