A Research on the Distribution of China's Stock Market Returns and VaR Estimation

摘要

This article aims to the distribution characteristics of the geometric rate of return of SH180 index and Shenzhen component index. The results show that SH180 Index and Shenzhen Component Index both have fat tail characteristic of the non-normal distribution. Therefore, the value of VaR cannot use the normal distribution model but the GARCH-GED model to estimate. Estimation results show that the investment risk of the Shenzhen Component Index is high than the Shanghai 180 Index.