Research on the Market Risk Measure Based on the VaR Model for Chinese SSE Composite Index
Wang Chumin · Huadong Li-Gong Daxue xuebao · 2010
We here analyze market Value at Risk(VaR)of Shanghai Stock Exchange Composite Index from January 2nd,1997 to April 3rd,2009 through building EGARCH-t-VaR model.Furthermore,we conclude the Market Risk during the same period.