China Securities Hedge Portfolio Returns Fitting Based on Asymmetric GARCH Model

摘要

In this paper, Asymmetric GARCH model such as TARCH, EGARCH, PARCH, respectively assume that the residuals obey a normal distribution, Student t distribution, the generalized error distribution, and fit the returns volatility sequence of conditional probability distribution of the five different styles of investment portfolio and stock index futures. The results showed that different investment styles portfolio return series applies to the corresponding GARCH model, the VaR calculation and the formation of hedge portfolio should be contingent in selecting the appropriate GARCH model.