The Application of GARCH Model in The Growth Enterprise Market Risk Measurement
Authors
Qian Rao, Zan Zhang
Corresponding Author
Qian Rao
Available Online May 2014.
- DOI
- 10.2991/lemcs-14.2014.9How to use a DOI?
- Keywords
- Growth Enterprise Market; GARCH model; VaR; Risk measurement
- Abstract
After the financial crisis, many countries have been paying more and more attention to the regulation of financial market risk, and the core of risk regulation is the market risk measurement. Based on the theory of risk management, this paper studies the statistical characteristics of the Growth Enterprise Market (GEM) index, do the empirical researches of the GEM composite index with the VaR and GARCH model, and the results show that the VaR value risk measurement method based on the GARCH model group can accurately measure the market risks of GEM in China
- Copyright
- © 2014, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Qian Rao AU - Zan Zhang PY - 2014/05 DA - 2014/05 TI - The Application of GARCH Model in The Growth Enterprise Market Risk Measurement BT - Proceedings of the International Conference on Logistics, Engineering, Management and Computer Science PB - Atlantis Press SP - 34 EP - 38 SN - 1951-6851 UR - https://doi.org/10.2991/lemcs-14.2014.9 DO - 10.2991/lemcs-14.2014.9 ID - Rao2014/05 ER -