Research on Financial Market Risk Based on GARCH-M Model
نویسندگان
چکیده
Since 1970, with the gradual acceleration of economic globalization and rapid development information technology, financial market has become increasingly unstable. Therefore, we must enhance our competitiveness in market, ability to resist risks, master effective measures such as measuring risks. In this paper, GARCH-M model VAR method are used study value at risk make an empirical analysis. Firstly, calculation based on under generalized error distribution is given. Secondly, closing price Shanghai Stock Exchange Index selected sample data, Eviews software analyze its characteristics. The results show that logarithmic yield series not normally distributed, fluctuation aggregation effect, autocorrelation effect heteroscedasticity effect. Finally, established, estimates 95% 99% confidence levels calculated tested. GARCH-M(1,1) more suitable for estimating return rate Composite Index.
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ژورنال
عنوان ژورنال: E3S web of conferences
سال: 2021
ISSN: ['2555-0403', '2267-1242']
DOI: https://doi.org/10.1051/e3sconf/202125101106