The Application of GARCH Model in Computing the VaR of Chinese Stock Market
GARCH模型在计算我国股市风险价值中的应用研究

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.