volatility index
3.By making use of Econometrics software Eviews 4.0,a research is made on the volatility of the month close index of ShangHai and ShenZheng stock market from the opening to October 2004(14 years),and the ADL(p,q) models for them are separately established.
4.It shows that SV model based on GED can give better estimation to the index of two market when fat-tailed densities,volatility clusting and volatility persistence are taken into account in the conditional variance. In addition,ES can give better estimation to tail risk than VaR.
