Empirical Analysis on the VaR of China's Stock Market Based on GARCH Family Models

摘要

For the heavy tailed distribution of returns in China' s stock markets, there are defects in using the traditional model to estimate the VaR. GARCH model can deal with heavy tailed distribution and describe the fluctuations of stock price well.This paper carries out an empirical analysis with the VaR method based on GARCH family models. The results show that the GARCH family models are useful tools to estimate the risk level of stock market.