Dissertation > Excellent graduate degree dissertation topics show

The Applied Research of GARCH Family Model Based on the VaR Method in China’s Stock Market Risk Measure

Author: SongNa
Tutor: ZhuangXinTian
School: Northeastern University
Course: Finance
Keywords: GARCH model VaR accuracy the risk of stock market
CLC: F224
Type: Master's thesis
Year: 2009
Downloads: 115
Quote: 0
Read: Download Dissertation

Abstract


It is a hot topic how to construct a the suitable model to measure financial risk in financial research field at present-VaR is a popular method to compute finance risk, which is simple, clear and more reasonable in contrast with variance because it takes the loss of investors as the risk-But when we calculate VaR by using parameter method, distribution hypothesis and the selection of models is somewhat subjectivity andsometimes depended on experience. As the nation GARCH model can be used to describe the dynamic characteristics of the proceeds to capture the cluster effect of the stock market. Asymmetric Feature,Therefore,in recent years VaR calculation of the parameters used various methods to focus on combining GARCH model can capture the thick stock gains t-tail characteristics of the distribution, atypical distribution calculation.The model of GARCH is widely used in modeling the volatility of fi-nancial assets and measuring Va R.This paper analyses GARCH family such as GARCH, TARCH、EGARCH.The paper, to begin with, introduces basic methods to calculate VAR, then makes a comparison in facet of the advantages and disadvantages of them. Finally Shanghai stock index, Shenzhen stock index,Shenzhen elemant index,Shanghai stock 180 index are studied and the profitability of them is tested indicates the earning ratio of those markets presents skew and distributed stably with the effect of ARCH-LM. Hereby, GARCH mode is suitable to be applied to calculating VaR of China’s Market. Also, the paper fits GARCH、TARCH、EGARCH model and the GED distribution to study the alternation of VaR under those hypotheses.Kupiec test is adopted to test the accuracy of the mode to find good model for each securities market.

Related Dissertations

  1. Research on the Optimization of Laser Triangulation Device,TH744.5
  2. Research on Standardization and Accuracy of Use on Junior High School Physical Education Teaching Methods,G633.96
  3. Cadmium, Chromium and Lead Accumlation, Distribution in Aralia Elata Var. Inermia and Their Effect on Leaf Antioxidative System,S792
  4. Preparation and Biological Effects of a Bio-Organic Fertilizer Against Tobacco Black Shank Disease,S435.72
  5. Studies on Agrobacterium-midiated Genetic Transformation in Brassica Campestris Subsp. Chinensis Var. Parachinensis,S634.5
  6. Daxinganling forest areas Pinus sylvestris tree-ring δ \u003csup\u003e 13 \u003c / sup \u003e C of the climate significance,S791.253
  7. Physio-Biochemiscal Responses of Seed Germination and Seedling of Sweet Pepper under NaCl Stress,S641.3
  8. Length and number of words when writing English writing on the students performance and accuracy of communication,G633.41
  9. A Study on the Performance Improvement Scenario of the Resource Center of China Telecom, Guangzhou Branch,F626
  10. Shanghai and Shenzhen stock markets empirical research,F224
  11. Spectral Method for Solving Two Types of Delay Differential Equations,O241.8
  12. Research on Support Vector Regression in Prediction of the Short-term Load of Power System,TM715;F224
  13. The Study of Accuracy Management Method Based on Hull Contruction,U673.2
  14. Research on Multiple Moving Objects Classification from Video,TP391.41
  15. The Anatomical Measurement of Thoracolumbar Pedicles and Design of a Pedicle Perforator,R687.3
  16. Compound Molecular Pump Rotor Design Based on UG Software and Research on Processing Technology,TG659
  17. The Establishment of a Single Base Station CORS and Measured Precision Analysis,P228.4
  18. Research on the Precision Design of 3-TPS Hybrid Machine Tool,TG659
  19. Application of Multiple Intelligences Theory in Teaching English Reading to Art Students in Senior High School,G633.41
  20. The Data Acquisition and Detection System of Wave Sensor,TP274.2
  21. Development and Implementation the Labor and Capital Manage System for Colleges and Universities,TP311.52

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile