Research on Financial Market Risk Based on GARCH-M Model

Since 1970, with the gradual acceleration of economic globalization and the rapid development of information technology, the financial market has become increasingly unstable. Therefore, we must enhance our competitiveness in the financial market, enhance our ability to resist risks, and master effe...

Full description

Bibliographic Details
Main Author: Sun Tieshuang
Format: Article
Language:English
Published: EDP Sciences 2021-01-01
Series:E3S Web of Conferences
Online Access:https://www.e3s-conferences.org/articles/e3sconf/pdf/2021/27/e3sconf_ictees2021_01106.pdf
id doaj-f63883afe5034d5d90a6905cd83d2115
record_format Article
spelling doaj-f63883afe5034d5d90a6905cd83d21152021-05-04T12:17:23ZengEDP SciencesE3S Web of Conferences2267-12422021-01-012510110610.1051/e3sconf/202125101106e3sconf_ictees2021_01106Research on Financial Market Risk Based on GARCH-M ModelSun Tieshuang0Lanzhou University of Technology School of Economics and ManagementSince 1970, with the gradual acceleration of economic globalization and the rapid development of information technology, the financial market has become increasingly unstable. Therefore, we must enhance our competitiveness in the financial market, enhance our ability to resist risks, and master effective measures such as measuring risks. In this paper, GARCH-M model and VAR method are used to study the value at risk of financial market and make an empirical analysis. Firstly, the VAR value calculation method based on GARCH-M model under generalized error distribution is given. Secondly, the closing price of Shanghai Stock Exchange Index is selected as sample data, and Eviews software is used to analyze its characteristics. The results show that the logarithmic yield series of the closing price of Shanghai Stock Exchange Index is not normally distributed, and the series has fluctuation aggregation effect, autocorrelation effect and heteroscedasticity effect. Finally, GARCH-M model is established, and VAR estimates at 95% and 99% confidence levels are calculated and tested. The results show that GARCH-M(1,1) model is more suitable for estimating the risk of logarithmic return rate of closing price of Shanghai Composite Index.https://www.e3s-conferences.org/articles/e3sconf/pdf/2021/27/e3sconf_ictees2021_01106.pdf
collection DOAJ
language English
format Article
sources DOAJ
author Sun Tieshuang
spellingShingle Sun Tieshuang
Research on Financial Market Risk Based on GARCH-M Model
E3S Web of Conferences
author_facet Sun Tieshuang
author_sort Sun Tieshuang
title Research on Financial Market Risk Based on GARCH-M Model
title_short Research on Financial Market Risk Based on GARCH-M Model
title_full Research on Financial Market Risk Based on GARCH-M Model
title_fullStr Research on Financial Market Risk Based on GARCH-M Model
title_full_unstemmed Research on Financial Market Risk Based on GARCH-M Model
title_sort research on financial market risk based on garch-m model
publisher EDP Sciences
series E3S Web of Conferences
issn 2267-1242
publishDate 2021-01-01
description Since 1970, with the gradual acceleration of economic globalization and the rapid development of information technology, the financial market has become increasingly unstable. Therefore, we must enhance our competitiveness in the financial market, enhance our ability to resist risks, and master effective measures such as measuring risks. In this paper, GARCH-M model and VAR method are used to study the value at risk of financial market and make an empirical analysis. Firstly, the VAR value calculation method based on GARCH-M model under generalized error distribution is given. Secondly, the closing price of Shanghai Stock Exchange Index is selected as sample data, and Eviews software is used to analyze its characteristics. The results show that the logarithmic yield series of the closing price of Shanghai Stock Exchange Index is not normally distributed, and the series has fluctuation aggregation effect, autocorrelation effect and heteroscedasticity effect. Finally, GARCH-M model is established, and VAR estimates at 95% and 99% confidence levels are calculated and tested. The results show that GARCH-M(1,1) model is more suitable for estimating the risk of logarithmic return rate of closing price of Shanghai Composite Index.
url https://www.e3s-conferences.org/articles/e3sconf/pdf/2021/27/e3sconf_ictees2021_01106.pdf
work_keys_str_mv AT suntieshuang researchonfinancialmarketriskbasedongarchmmodel
_version_ 1721479238650953728