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China's Stock Market Risk Measure - Var In The Chinese Stock Market Risk Measure

Posted on:2005-09-10Degree:MasterType:Thesis
Country:ChinaCandidate:L L WangFull Text:PDF
GTID:2206360152956542Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
This article discussed risk for general stock market, and analyzed risk measurement methods which we have had, bring forwarded risk measurement method based on stock value forecast, which involve Levy VaR model and price diversity rate. The method was used to know the trend of stock market and the risk of it. In the end, we put forward some advices to guard against stock market risk.Firstly, this article analyzed risk of Chinese stock market in theory, and put forward feasibility and premise of risk measurement method based on stock value forecast. The feasibility is about forecast for stock value or risk measurement method. The premise is about hypothesis of the method.Secondly, we put forward valuable forecast methods. Because Chinese stock market is weak effective, we have to consider the random walk and heteroskedasticity of time-series to reduce error of models. At the same time, we can reduce the risk of difference of forecast and conducts; provide reference of market trend for investor.Once more, according as the idea about adjoin of forecast and risk, the risk measure established on prediction data is applicable on Chinese stock market, which is demonstrated by modeling analyses.In the end, gave out some correlative market risk countermeasures.The study about risk measure of Chinese stock market is not only adequate for securities market, but also have use for reference sense versus risk measure of other economic sphere.
Keywords/Search Tags:Stock market, risk, prediction model, Levy distribution
PDF Full Text Request
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