A Research in Performances of Non-normal ARCH Type Models and of VaR Measure

This paper, taking the Shanghai Stock Exchange (SSE) Composite Index as the sample, constructs ARCH models under the assumptions of normal residuals and non-normal residuals and compares the forecast performances of volatility of normal and non-normal ARCH models and the performance of VaR measure to demonstrate the effects of the distribution assumptions on GARCH model's forecasting ability and risk measure.