%0 Journal Article
%T The Application of GARCH Model in Computing the VaR of Chinese Stock Market<br>GARCH模型在计算我国股市风险价值中的应用研究
%A ZOU Jian
%A |jun
%A ZHANG Zong
%A |yi
%A QIN Zheng
%A <br>邹建军
%A 张宗益
%A 秦拯
%J 系统工程理论与实践
%D 2003
%I 
%X The volatility models used in VaR are discussed in this paper. The Lagrange multiplier (LM) test verifies that the return series of shanghai stock markets is an ARCH process. The daily VaRs of stock returns are computed using GARCH (1,1) model, MA method and RiskMetrics respectively. The back\|testing indicates that GARCH (1,1) model reflect the real market risk more accurately than traditional MA method and RiskMetrics.
%K GARCH
%K stock return
%K volatility
%K VaR (Value at Risk)<br>GARCH模型
%K 股票市场收益率
%K 波动性
%K 风险价值
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=DCE4496C377F5B6C&yid=D43C4A19B2EE3C0A&vid=EA389574707BDED3&iid=94C357A881DFC066&sid=A04140E723CB732E&eid=C5154311167311FE&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=23&reference_num=3