TITLE:
Risk Measurement of Chinese Stock Market Based on GARCH Model and Extreme Value Theory
AUTHORS:
Shixue Du, Guoqiang Tang, Shijun Li
KEYWORDS:
GARCH Model, Extreme Value Theory, VaR
JOURNAL NAME:
Open Journal of Business and Management,
Vol.7 No.2,
April
25,
2019
ABSTRACT: The
risk of the stock market has always been a hot issue for investors. This paper
selects the daily closing price data of the Shanghai and Shenzhen 300 Index of
the Shanghai stock exchange, the Shenzhen 300 Index of Shenzhen stock exchange,
the Hang Seng Index of the Hong Kong stock exchange market and Taiwan Weighted
Index of the Taiwan stock market and calculates logarithm and difference. The
GARCH model is combined with the POT model of extreme value theory to measure
the risk. Comparing the failure rates at the three significance levels of 0.05,
0.025 and 0.01, the failure rates are close to the level of
significance, which conduct that the GARCH-POT model can measure the risk of
Chinese stock market well.