Risk analysis of China Stock Market based on EGARCH-M models and Shanghai-Shenzhen 300 index

Author

Chen, Lijuan ; Wang, Ruiyun

Author_Institution

Glorious Sun Sch. of Bus. & Manage., Dong Hua Univ., Shanghai, China

fYear

2009

fDate

13-14 Dec. 2009

Firstpage

319

Lastpage

322

Abstract

This paper highlights that EGARCH(1,1)-M models based on generalized error distribution (GED) , student-t distribution and normal distribution are applied to calculate VaR of day logarithm return series of Shanghai-Shenzhen 300 index, and are compared with GARCH(1,1) model based on normal distribution. The empirical research through statistical analysis and back-testing has shown that EGARCH(1,1)-M model based on GED distribution was superior to the other three on describing in the market risk of China stock market. Based on the analysis results this study comes to the conclusions and some suggestions for the further research.

Keywords

autoregressive processes; risk analysis; statistical analysis; stock markets; China stock market; EGARCH-M model; Shanghai-Shenzhen 300 index; generalized error distribution; normal distribution; risk analysis; statistical analysis; student-t distribution; Biomedical engineering; Equations; Gaussian distribution; Measurement standards; Particle measurements; Probability distribution; Reactive power; Risk analysis; Stock markets; Sun; Back-testing; EGARCH-M(1,1); GED; Shanghai-Shenzhen 300 index; VaR;

fLanguage

English

Publisher

ieee

Conference_Titel

BioMedical Information Engineering, 2009. FBIE 2009. International Conference on Future

Conference_Location

Sanya

Print_ISBN

978-1-4244-4690-2

Electronic_ISBN

978-1-4244-4692-6

Type

conf

DOI

10.1109/FBIE.2009.5405919

Filename

5405919