Author(s)

Hongmei Shen

Corresponding Author

Hongmei Shen

ABSTRACT

Although the new third board expands rapidly, it is necessary and urgent to analyze the risks of the new third board market because of its short time, imperfect mechanisms, low entry threshold, many types of industries and great differences in internal development. Based on the new three-board component index, this paper establishes the EGARCH model, evaluates the risk using VaR, a widely used risk measurement index in financial circles, and tests the validity of VaR calculation. Finally it analyzes the leverage effect of the new third board market.

KEYWORDS

VaR EGARCH model, new third board market, leverage effect