DocumentCode
3039421
Title
GARCH family model and its application in calculating stock index future VaR in Chinese market
Author
Li, Ting ; Zhang, Zhigang ; Zhao, Lutao ; Ai, Dongmei
Author_Institution
Sch. of Math. & Phys., Univ. of Sci. & Technol. Beijing, Beijing, China
fYear
2011
fDate
26-28 July 2011
Firstpage
5872
Lastpage
5874
Abstract
With heteroskedasticity, HS300 index future goes with GARCH family models thus predicting the VaR. Result shows that the E GARCH and TARCH model can describe its heteroskedasticity and leverage and shows that the model under t-distribution and GED can predict the risk effectively.
Keywords
stock markets; Chinese market; GARCH family model; VaR; stock index future; value-at-risk; Gaussian distribution; Indexes; Mathematical model; Predictive models; Reactive power; Risk management; EGARCH; GARCH; HS300; TARCH; VaR;
fLanguage
English
Publisher
ieee
Conference_Titel
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location
Hangzhou
Print_ISBN
978-1-61284-771-9
Type
conf
DOI
10.1109/ICMT.2011.6002533
Filename
6002533
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