Empirical Research. Csi Broad Market Index Return Distribution And The Risk Measure

This paper studied the behavior of ShangHai and ShenZhen's stock-market prices. First of all we fit stock price data of ShangHai and ShenZhen Market with stable Paretian distributions, Maximum Likehood Estimation method is used to fit general stable distribution parameters, then we study the Descriptive Statistics and Hurst exponent of ShangHai and ShenZhen Stock Index series . The results shows skewness and heavy tails can be well described by stable Paretian distribution. In the second part we build a series of GARCH models using Maximum Likehood Estimation method and Ordinary Least Squares method , volatility and conditional heteroscedastic can be well done in these models. The remainder of this paper, we study the market Value at Risk(VaR) with Normal model, Stable model, empirical quantile and ecomometric modeling using volatility models approaches , finally we study the VaR's applications in Stock Index Futures.