GARCH family model and its application in calculating stock index future VaR in Chinese market

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.

Bibliographische Detailangaben

Hauptverfasser:	Ting Li, Zhigang Zhang, Lutao Zhao, Dongmei Ai
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	EGARCH GARCH Gaussian distribution HS300 Indexes Mathematical model Predictive models Reactive power Risk management TARCH VaR
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