Extremum VAR Measurement Between Shanghai And Taiwan Stock Index Comparative Analysis

IN GLOBAL BOOM LOW MINCED SLUGGISH, STATES ADVOCATES RECOVERY ECONOMIC OF BY FINANCIAL DEFICIT, CURRENCY DEPRECIATED COMPETITIVELY, AGGRESSIVELY QUANTITATIVE EASING POLICY, CAUSED ASSETS EXPANSION, HOT MONEY FLED TO RELATIVE SECURITY, AND HIGH YIELDS OF BETWEEN MARKETS, RENDERING OF IS GLOBAL FINANCIAL MARKETS IN CURRENCY, AND INTEREST RATE AND THE ASSETS PRICE GIANT STRONG OSCILLATION, PRODUCED HEIGH FLUCTUATIONS OF VOLATILITY, INCREASED FINANCIAL RISK, LED INTERNATIONAL BETWEEN INCREASINGLY ATTENTION FINANCIAL RISK MANAGEMENT.THIS ARTICLE THROUGH THE METHOD OF EXTREME VALUE THEORY IN THE VAR ON THE VALUATION OF THE BENEFITS, TO COMPARE SHANGHAI AND TAIWAN STOCKS IN SIMILARITIES AND DIFFERENCES IN APPLYING EXTREME VALUE THEORY APPROACH, IN ADDITION, A COMPARISON BETWEEN DIFFERENT EXTREMUM VAR MODELS ALSO HELP BILATERAL ACCORDING TO ITS OWN CHARACTERISTICS, CHARACTERISTICS OF THE STOCK MARKET, SELECT THE MOST APPROPRIATE MODEL FOR MEASURING EXTREME RISKS. THROUGH THE APPLICATION OF EXTREME VALUE THEORY MODEL-GARCH-GPD MODEL AND BMM MODEL IN THE SHANGHAI COMPOSITE INDEX AND THE TAIWAN WEIGHTED INDEX OF EMPIRICAL RESEARCH. RESEARCH FINDINGS ARE CLASSIFIED AS THE FOLLOWING SEVERAL POINTS:(1) THE SHANGHAI COMPOSITE INDEX AND THE TAIWAN WEIGHTED INDEX YIELDS THE DAY LOGARITHM, SIMILARITY IS VERY HIGH END OF THE MARKET DISTRIBUTION. (2) THE REAR END OF THE DISTRIBUTION OF THE FORMS MAY CHANGE OVER TIME. (B) THE DAY LOGARITHM YIELDS VOLATILE SHANGHAI COMPOSITE INDEX COMPARED TO THE TAIWAN WEIGHTED INDEX YIELDS THE DAY LOGARITHM IS MORE DRAMATIC, FACING RELATIVELY HIGH RISKS. (4) THE DAY LOGARITHM YIELDS OF THE SHANGHAI COMPOSITE INDEX AND TAIWAN WEIGHTED INDEX FLUCTUATIONS ARE MORE DOWNSIDE RISK THAN UPSIDE GAINS.