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Web of Proceedings - Francis Academic Press
Web of Proceedings - Francis Academic Press

The Empirical Analysis of Shanghai Composite Index based on GARCH Model

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DOI: 10.25236/sser.2019.026


Fei Ding

Corresponding Author

Fei Ding


Because of the financial field, the GARCH model has a wide range of applications in the simulation of financial time series volatility and the measurement of financial risk. Therefore, based on the GARCH model, the assumption of normal distribution is used to measure the accuracy of VAR values, and the failure rate of VAR values is detected. The results show that the daily yield of Shanghai stock index has the characteristics of "peak thick tail". The correlation test of the daily yield series of Shanghai stock index shows that the Eviews index has a strong correlation. Through the GARCH model to eliminate relevance, to yield modeling, and effectively predict the Shanghai Composite Index VAR value.


Shanghai stock index; GARCH model; VAR value