@inproceedings{121c1f0662bb459f90dda579efda0348,
title = "GARCH family model and its application in calculating stock index future VaR in Chinese market",
abstract = "With heteroskedasticity, HS300 index future goes with GARCH family models thus predicting the VaR. Result shows that the EGARCH and TARCH model can describe its heteroskedasticity and leverage and shows that the model under t-distribution and GED can predict the risk effectively.",
keywords = "EGARCH, GARCH, HS300, TARCH, VaR",
author = "Ting Li and Zhigang Zhang and Lutao Zhao and Dongmei Ai",
year = "2011",
doi = "10.1109/ICMT.2011.6002533",
language = "English",
isbn = "9781612847740",
series = "2011 International Conference on Multimedia Technology, ICMT 2011",
pages = "5872--5874",
booktitle = "2011 International Conference on Multimedia Technology, ICMT 2011",
note = "2nd International Conference on Multimedia Technology, ICMT 2011 ; Conference date: 26-07-2011 Through 28-07-2011",
}