Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China

Research Article

Empirical Study on the Investment Risk of SSE 50 Index Based on GARCH-VaR Model

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  • @INPROCEEDINGS{10.4108/eai.17-11-2023.2342664,
        author={Yanqun  Gao},
        title={Empirical Study on the Investment Risk of SSE 50 Index Based on GARCH-VaR Model},
        proceedings={Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17--19, 2023, Beijing, China},
        publisher={EAI},
        proceedings_a={ICEMME},
        year={2024},
        month={2},
        keywords={var calculation; garch-type models; risk measure; kupiec test},
        doi={10.4108/eai.17-11-2023.2342664}
    }
    
  • Yanqun Gao
    Year: 2024
    Empirical Study on the Investment Risk of SSE 50 Index Based on GARCH-VaR Model
    ICEMME
    EAI
    DOI: 10.4108/eai.17-11-2023.2342664
Yanqun Gao1,*
  • 1: Guangdong University Of Science&Technology
*Contact email: gaoyanqun@gdust.edu.cn

Abstract

By testing the daily logarithmic return series of SSE 50 index in the past 10 years, the result satisfies that the residuals of the series obey the ARCH distribution, and the volatility of VaR can be estimated by using the GARCH-type models, and then estimated and analyzed with the help of the t-distribution and GED-distribution of the GARCH-type models, and finally using the data from July 1, 2013 to June 30, 2023, the VaR value of each trading day can be quantitatively measured accordingly. Finally, the VaR value of each trading day is obtained by using the data from July 1, 2013 to June 30, 2023, according to which the stock market risk is quantitatively measured, and the results of the study can provide useful references for stock investors as well as the risk management of investment institutions.