An Empirical Study On Chinese Growth Enterprise Market Risk Based On GARCH-VaR Model

Since Chinese Growth Enterprise Market was officially listed in October 2009,the GEM market has continued to develop and received extensive attention.As of July 12,2017,the Growth Enterprise Market has grown from the first 28 listed companies to 656 listed companies.The GEM market provides a place for financing and capital operation for some emerging companies,but at the same time,most of the listed companies in the GEM are in the early stages of development,face more uncertainties,and therefore have greater risks compared with the main market.This paper measures and studies GEM risks and compare it with the main market to provide recommendations for investment institutions and investors.This article first introduced the concepts of GEM market risk,capital market risk measurement and other related concepts.And it analyzed the stage of development of Chinese GEM,as well as the existing risks at the current stage.Introduced the current research status of domestic and foreign scholars on the risk of securities market and the corresponding results illustrate the basic principles,applications,and calculations of the GARCH-VaR model.Secondly,the paper mainly uses Eviews and Excel for modeling and analysis,and selects the daily closing price of the KLCI market in China as the research object.It uses the daily logarithmic return of the GEM Composite Index to establish GARCH,EGARCH,TGARCH,CARCH,and GARCH-M,EGARCH-M,TGARCH-M,CARCH-M models.Based on the models,the volatility of the GEM can be estimated,and calculate the VaR value under the normal distribution,t-distribution,and GED distribution.Compare the advantages and disadvantages of these three methods,and the final results are tested in combination with the failure test method for testing VaR estimates.Then the Shanghai Stock Exchange Index is used as a measure of the main market,to compare the risk of volatility between the Growth Enterprise Market and the main market to examine whether the risk of the Growth Enterprise Market has been enlarged.Finally,the empirical results are combined to provide investors with precautions against the risks of Chinese GEM market.Related measures are put forward to promote the orderly development of the Chinese GEM market.