This study present a hybrid method of estimating VAR, combining Neural Network and
ARMA. Empirical results demonstrate that the hybrid method obtained superior results
to the conventional method in estimating VAR. When applied to the Shanghai stock
market both the conventional and hybrid methods performed well in terms of accuracy,
with the only poorly performing result being the HS method in Shanghai A share market.
In terms of conservativeness, the hybrid method was superior to the conventional
method. Thus, using hybrid Neural Network with the ARMA method to compare with
the conventional method in estimating VAR offers certain advantages.