Empirical Research Of Growth Enterprise Market Based On GARCH Family Models

Growth Enterprise Market mainly offers small and medium enterprises analternative of financing, help and improve small and medium enterprises, especiallyhigh growth emerging enterprises. Small and medium enterprises are more thorny inthe high speed economic development country such as China. Therefore GrowthEnterprise Market is designed to bridge this gap. That will introduce high growthand high-new tech company into stock market, thus activate China securities market,provide more investment opportunity for investors, put a jolt in market competition,meanwhile also improve the listing company self competition.China Growth Enterprise Market is mainly consist of high growth small andmedium enterprise, which is high risk, therefore Growth Enterprise Market indexvolatility is high. The analysis result show at5%level of significance, Shanghaicomposite index is said to granger causality Growth Enterprise Market index,(however at10%level of significance，the change of Growth Enterprise Market andShanghai composite index are mutually influence), Shenzhen Component Index andGrowth Enterprise Market index are mutually granger causality, thus research thedynamic association relationship among Growth Enterprise Market, Shanghai stockmarket and Shenzhen stock market.This paper mainly utilize GARCH models and their extended models to createGrowth Enterprise Market volatility model, by which describe Growth EnterpriseMarket volatility, considering financial assets character of high peak and fat tail,introduce GED distribution which can describe earnings yield character of high peakand fat tail, meanwhile utilize normal distribution, student-T distribution and GEDdistribution to fit the Growth Enterprise Market earnings yield distribution, thencontrast fitting precision under these distributions to describe financial assetsvolatility more accuracy.Finally, we measure Growth Enterprise Market risk, and contrast VaR undervaried volatility models. Contrasting varied level of significance, varied distributionand varied GARCH models, we will have a conclusion that at99%level ofsignificance under student-T distribution, we will easily overvalue risk;EGARCH-VaR model under GED distribution will properly cover the risk. In realityin the process of investment decision-making, whatever the risk is overvalued orundervalued, is bad for decision makers managing risk efficiently. So Evaluation of Growth Enterprise Market volatility risk accurately can manage Growth EnterpriseMarket risk efficiently.