On May 11, Hongjie Fan made an online academic report titled "Value at Risk under Different Fluctuations of the China Securities Liquor Index".Part of the teachers and graduate students attended the lecture presided by Meini Li.

First, Hongjie Fan explained in detail the value at risk of the CSI Liquor Index under different fluctuations, and detailed the statistical methods of risk prediction. Secondly, Hongjie Fan selected the 1550-day closing price data of the China Securities Liquor Index, based on the T distribution and the generalized error distribution (GED) GARCH family model, and found that the CGARCH-M model under the GED distribution can reflect the non-normality, heteroscedasticity and heteroscedasticity of returns. The volatility leverage effect has a better fitting effect on the return of the China Securities Liquor Index. Thirdly, Hongjie Fan used the weighted historical simulation method and the CGARCH-M-GED model to calculate the value at risk of the index, and found that the weighted historical simulation method in the low volatility period and the unstable volatility period tends to overestimate the market risk, and the model is invalid in the high volatility period. Finally, Hongjie Fan tested the risk prediction effect of the asymmetric GARCH model on the China Securities Liquor Index in different fluctuation periods from a statistical perspective.

The academic forum which is informative and insightful broadened the horizons of the students and teachers, providing them with a deeper understanding of the value at risk under different fluctuations of the CSI liquor index.

Copywriters: GuanyuXu, Ze Zhang

    Verifier: Xiang Li