Quantitative Analysis Of Stock Market Risks In BRICS Countries

The BRICS concept was first proposed in 2001 by Jim O ’Neill,chief economist of Goldman Sachs.As an emerging world economic cooperation body,BRICS countries play a vital role in the world economic development.Their economic development and stock markets have attracted extensive attention from people and researchers in all fields of society.Therefore,risk monitoring and forecasting in BRICS emerging markets becomes particularly important.At present,the research on the stock market risk of BRICS countries is still in the development stage.How to accurately extract the fluctuation law from the historical data of the stock market,grasp the trend,and thus predict the future risk is a research direction with great significance.VaR index is a risk measure recognized by the international financial market.In this paper,VaR value will be used to measure the risk of the BRICS stock market index.It is of great research significance and application value to calculate VaR more accurately and effectively avoid stock market risks through VaR so as to make scientific decisions.In this paper,firstly,a GARCH model based on scale mixture of normal distribution and Bayesian estimation is proposed,and a Granger causality test method based on Bayesian estimation and Bayesian test is proposed.Secondly,it introduces the theoretical framework and test method of VaR,and carries on the estimation and test of the VaR of the BRICS stock market indexes.Furthermore,based on the predicted value of VaR,quantile regression model was established to analyze the relationship between stock index risks of the five countries,and the Granger causality test based on Bayesian thought was used to explore the causality of stock index risks of the five BRICS countries.Finally,the empirical conclusions of the analysis of BRICS stock markets are given.The empirical results show that,firstly,when calculating VaR,GARCH model based on scale mixture of normal distribution and Bayesian estimation can be used to more accurately fit the stock market fluctuations,so as to better control the stock market risk.Second,the quantile regression model shows that the slope of the linear relationship among BRICS countries is higher at the high-quantile level,that is,when the expected risk loss is higher.Three is based on the bayesian estimation of Granger causality test results show that the BRICS countries indexes both influence exists a two-way Granger relationship between VaR forecast,the stock risk loss correlation,in practice,financial practitioners shall start from the practical perspective,considering the correlation between countries,to reduce the risk loss.