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Analyzing the risk of Shanghai Composite Index is beneficial to investors in stock investment, and provides reference for investors. This paper selects the daily data of Shanghai Composite Index from January 1, 2005 to December 30, 2016 as the research object, and uses VaR and GARCH model to empirically research the risk of Shanghai Composite Index. The results show that, through the fitting of different GARCH models, the EGARCH(1,1) model under the t distribution can get the best fitting effect. Compared VaR measuring value and the failure probability of the inspection under different distribution, it can be found that the VaR measuring value under the t distribution has smaller volatility, higher accuracy, and minimal failure probability.

Research on the risk of Shanghai Composite Index based on VaR and GARCH model