The Research Of The Distribution Of Chinese Stock Market Returns Ratio And The Risk Of Stock Market

Along with the development of Chinese stock market,the research about the distribution of stock market's returns ratio and the risk of stock market has gradually became the focus of attention. Describing the distribution of stock market's returns ratio and measuring the risk of stock market accurately is the individual investor's dream. Generaly, most people believe that the distribution of stock market's returns ratio have peak and thick tail.It is different from normal distribution. We can measure the risk of the stock market by using VAR method. In this paper, under the results of other people's research,we have done some reseaches as follows:1.we have described the central tendency,disperse tendency,symmetry,kurtosis of the distribution of stock market's returns ratio;2. we have analysed the long-term memory of China's stock market's returns ratio and its continued volatility.3.Basing on the different mean model,we construct different GARCH model (1,1) - t model to simulate the fluctuation of variance.Then we calculate dayly VAR of shanghai and Shenzhen stock markers.finaly we test it.The results showes the stock market's returns ratio refused to obey the normal distribution assumption, and more inclined to obey t distribution. The long-term memory of chian's stock market's returns ratio is not strong,but its absolute value has obvious long-term memory,and its volatility is also continued.Based on the different mean model,using the GARCH model (1, 1)– t to estimate VaR has the possibility of underestimates the risk of the stock market. But these models is suitable when the requirement of custoding risk capital is strict (eg:The confidence level is 99%).