This paper mainly through the comparison of GARCH-VaR China stock market board,small board and gem in the United States correspond to the three stock index volatility,volatility between stock indexes obtained U.S.stoc...This paper mainly through the comparison of GARCH-VaR China stock market board,small board and gem in the United States correspond to the three stock index volatility,volatility between stock indexes obtained U.S.stock market volatility risk multi-level market differences.As a suggestion and reference for investors,it can also provide reference for the supervision department of stock market risk.Based on the empirical research,analyzes the advantages and disadvantages of traditional risk measurement methods,and combined with GARCH model with high degree of complexity and the practice effect analysis,trying to find the objective measure stock model analysis.In the specific study of the volatility of the stock market,through the comparison of China’s three major plates and the market classification mechanism of mature U.S.stock market,combined with the objective situation of the market,draw conclusions and change expectations.From the empirical results,the U.S.stock market has recovered after the financial crisis,and its performance on risk volatility is better than China’s three major plates.From the comparison of the stock market in the same country,the small and medium-sized plates tend to have greater risks,while the risks of the main board and the gem have the characteristics of low average value but frequent fluctuations.展开更多
文摘This paper mainly through the comparison of GARCH-VaR China stock market board,small board and gem in the United States correspond to the three stock index volatility,volatility between stock indexes obtained U.S.stock market volatility risk multi-level market differences.As a suggestion and reference for investors,it can also provide reference for the supervision department of stock market risk.Based on the empirical research,analyzes the advantages and disadvantages of traditional risk measurement methods,and combined with GARCH model with high degree of complexity and the practice effect analysis,trying to find the objective measure stock model analysis.In the specific study of the volatility of the stock market,through the comparison of China’s three major plates and the market classification mechanism of mature U.S.stock market,combined with the objective situation of the market,draw conclusions and change expectations.From the empirical results,the U.S.stock market has recovered after the financial crisis,and its performance on risk volatility is better than China’s three major plates.From the comparison of the stock market in the same country,the small and medium-sized plates tend to have greater risks,while the risks of the main board and the gem have the characteristics of low average value but frequent fluctuations.
