VALUE-AT-RISK ESTIMATION USING GARCH MODELS FOR THE CHINESE MAINLAND STOCK MARKET

Abstract: With the acceleration of economic globalization, the immature Chinese mainland stock market is gradually associated with the stock markets of other countries. This paper predict the return rate of Chinese mainland stock market using several models from GARCH family, test the predictability by calculating Value-at-Risk, also capture the dynamic correlation between other fifive countries or region and mainland China by DCC-GARCH model. The results indicate that E-ARMA-GARCH model fifits the best due to the signifificant heteroscedasticity and leverage effect of Chinese mainland stock market. It has the strongest positive correlation with HongKong while the weakest correlation with the United States.