Research On The Application Of GARCH Model In China’s Growth Enterprise Market Risk

The Growth Enterprise Market of China’s securities market has been established for nearly 10 years.The establishment of GEM has brought unique opportunities for SMEs to develop.Listing financing has become the growth goal of more and more SMEs,and this market has also brought more investment opportunities to investors.The threshold of GEM listing is not high,mainly composed of high-tech enterprises.Generally,these enterprises are established in a relatively short time,and their main business is single.Therefore,even if enterprises can successfully list,they are also facing greater risks,so the GEM index also has greater volatility.In order to make the GEM market in China develop well,it is particularly important to find a model to measure the risk of the GEM market.This paper introduces the development history,characteristics and current situation of the GEM market in China,analyses the systemic and non-systemic risks faced by the GEM market at present,and points out the direction for the good development of the GEM market in China by studying the experience of developed countries and regions.Then it studies the methods of measuring financial risk and empirical analysis of GEM,introduces VaR method and GARCH model in detail,chooses the closing price of GEM index from 2013 to today as the research object,and makes statistical analysis,stationarity test,autocorrelation test and heteroscedasticity of logarithmic return series of GEM index.After using GARCH model,the conditional variance of GARCH model under normal distribution,t distribution and GED distribution hypothesis is calculated,and then the VaR value of the model under three distribution hypothesis is calculated to measure the risk of GEM market.Then,the volatility of GEM index,Shanghai Stock Exchange Index and Shenzhen Chengdao Index is analyzed,and the risk of GEM market is compared with that of other two markets.The main purpose of this paper is to test the most suitable models for measuring the risk of GEM market in China through empirical analysis.After validating GARCH(1.1),EGARCH(1.1),PARCH(1.1)models and their hypothetical measurement under different distributions and explaining the volatility of GEM market return,it is found that GARCH(1.1)model under t distribution is at 95%confidence level.The measurement of risk is the most accurate,which provides an important basis for the risk management of GEM.