Research Article
Early Warning of Chinese Stock Market Crises Based on Volatility Model
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326887, author={Zhuofan Li}, title={Early Warning of Chinese Stock Market Crises Based on Volatility Model}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={garch; arma; var}, doi={10.4108/eai.18-11-2022.2326887} }- Zhuofan Li
Year: 2023
Early Warning of Chinese Stock Market Crises Based on Volatility Model
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326887
Abstract
The stock market has always been known for its instability, and it has been too risky for investors to invest without being warned of the coming crisis. To improve the situation, volatility model, ARMA-GARCH in this research, is used to predict value at risk (VaR) to provide a reference for investors. So, investors can be alarmed ahead. This article tries to structure a proper volatility model that suits the situation of the Chinese market, and further, to help create an efficient early warning system.
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