An Empirical Study of Value at Risk in the Chinese Stock Market
Nowadays, value at risk (VaR) has developed into a standard indicator in the financial risk measuring field. The aim of this study is not only to measure the risk of the Chinese stock market using VaR methods, but also to value whether the downside risk is priced in the expected return in the market. This study estimates VaR of six indices using four approaches at both 95% and 99% confidence level
