Impact Measurement of Education Sector on Risk Contagion in Financial Markets
Risk measurement is a crucial part of investment decision-making and risk management processes,which helps investors better understand and manage the risks of their investment portfolios,and maximize the achievement of their investment goals.GARCH(generalized autoregressive conditional heteroscedasticity)and Copula models were used to model the daily returns of the Shanghai Composite Index,Shanghai and Shenzhen 300 Index,as well as the Shenzhen Component Index and Education Index.The research results indicate that during the sample period,the Shanghai Composite Index,the CSI 300 Index,and the Shenzhen Component Index,as comprehensive stock indices,have stronger risk resistance compared to the Education Index.There is a significant bidirectional risk spillover effect and asymmetric risk contagion intensity between the Shanghai Composite Index,the CSI 300 Index,and the Shenzhen Component Index and the Education Index.Research has found that VaR(value at risk)and CoVaR(conditional value at risk)generally underestimate market risk and market conditional risk.
CoVaR(conditional value at risk)CoES(conditional expected shortfall)GARCH(generalized autoregressive conditional heteroscedasticity)modelcopularisk contagion
万方数据
维普
