DocumentCode
2822751
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
Volume
2
fYear
2009
fDate
24-26 April 2009
Firstpage
582
Lastpage
586
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Sciences and Optimization, 2009. CSO 2009. International Joint Conference on
Conference_Location
Sanya, Hainan
Print_ISBN
978-0-7695-3605-7
Type
conf
DOI
10.1109/CSO.2009.446
Filename
5194020
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