Measurement of ETF risk value based on GARCH-VaR model

作者：Wang Qian; Zhou Hong; Li Hua

来源：International Review on Computers and Software, 2012, 7(4): 1743-1749.

• Basic principles
• GARCH models
• GED
• Risk measurement
• Risk value
• Stock market
• T distribution
• VaR
• VAR-GARCH

First, this paper makes a compare of current main five methods of stock market's risk measurement, and explains basic principle's advantages and disadvantage of these methods. Then, this paper sets up the GARCH-VaR Model for the risk of ETF fund based on the consideration of volatility and distribution of the return series, and estimates the VaR values of ETF fund in China using the model under normal distribution, t-distribution and GED-distribution separately. Finally using Kupiec's back-testing we test the veracity of the VaR-GARCH Model. The result shows that the VaR estimated using the model under GED-distribution is better than the one estimated using the model under normal distribution and t-distribution in reflecting the risk of ETF fund.

• 出版日期2012