Analysis of EGARCH-VaR Models in Measuring Risk in Chinese Stock Markets
HE Chun-xiong · Science Technology and Engineering · 2008
According to the basic characteristics of stock returns of Shanghai and Shenzhen stock markets,the EGARCH and EGARCH-M models for calculating value at risk is developed and compared with models based on normal distribution , t distribution and general error distribution. The results show that the EGARCH-M-GED model is the best to describe the market risk in Chinese stock markets. Also, the market risk of Shenzhen is bigger than Shanghai.