Study on Financial Market Risk Measurement Based on GJR-GARCH and FHS
作者： Hong Zhang
DOI: 10.11648/J.SJAMS.20150303.12
关键词:
摘要: In this paper, we establish GJR-GARCH models to extract the residuals of logarithmic returns one kind Chinese stock index--- Shanghai Composite Index and series independent identically distribution standardized is formed from filtered model conditional volatilities return with an model. The results show that contrast actual value lower limit predicted VaR value, index for 8 days breaks below prediction limit. fitting result method market risk composite better than Traditional Historical Simulation.
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