基于fattailed-garch的VaR模型

VaR Model Based on Fattailed GARCH

利用F atta il GARCH V aR模型在不同分布的假设下建模上证综指收益时间序列,并与常用的正态分布下GARCH V aR模型进行比较,结果表明:广义误差分布及Skew ed t分布下的GARCH V aR模型适合建模上证综指收益时间序列。

In this paper, I model Shanghai composite indices by the use of GARCH_VaR model based on different distribution;furthermore,an comparative analysis is performed among different GARCH_VaR model based on 4 type distribution,the results show that the GARCH VaR model based on GED or Skewed t distributing is better for shanghai composite indices.