Big data, big challenges: risk management of financial market in the digital economy

نویسندگان

چکیده

Purpose The purpose of the research is to assess risk financial market in digital economy through quantitative analysis model big data era. It a challenge for government carry out management Design/methodology/approach In this study, generalized autoregressive conditional heteroskedasticity-vector autoregression (GARCH-VaR) constructed analyze economy. Additionally, correlation test and stationarity are carried construct best fit get corresponding VaR value. Findings Owing heteroscedasticity, index return series shows leptokurtic fat tail phenomenon. According AIC (Akaike information criterion), fitting degree GARCH measured. value difference models under three distributions not obvious, differences between them can be ignored. Originality/value Using GARCH-VaR better measure predict finance provide reliable basis current technology-driven regulation

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ژورنال

عنوان ژورنال: Journal of Enterprise Information Management

سال: 2021

ISSN: ['1758-7409', '1741-0398']

DOI: https://doi.org/10.1108/jeim-01-2021-0057