Gao, Yanqun (2024) Empirical Study on the Investment Risk of SSE 50 Index Based on GARCH-VaR Model. In: Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China.
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Abstract
By testing the daily logarithmic return series of SSE 50 index in the past 10 years, the result satisfies that the residuals of the series obey the ARCH distribution, and the volatility of VaR can be estimated by using the GARCH-type models, and then estimated and analyzed with the help of the t-dis
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 17:17 |
| Last Modified: | 17 Apr 2026 00:11 |
| URI: | http://eprints.eai.eu/id/eprint/47699 |
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