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
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;
Conference_Titel :
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location :
Hangzhou
Print_ISBN :
978-1-61284-771-9
DOI :
10.1109/ICMT.2011.6002533
