Modeling Shanghai stock market volatility

被引：10

作者：

Xu, JG ^{[1
]}

机构：

[1] Fudan Univ, Sch Management, Hangzhou Inst Commerce, Dept Finance, Fudan, Peoples R China

来源：

ANNALS OF OPERATIONS RESEARCH | 1999年 / 87卷 / 0期

关键词：

Shanghai stock market; GARCH model; volatility;

D O I：

10.1023/A:1018916532180

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

There is considerable quantitative research on stock market volatility internationally, but little on China's emerging stock markets. Using Shanghai daily stock return data, this paper studies models for stock market volatility by comparing GARCH, EGARCH and GJR-GARCH models. We find that the GARCH model that accounts for time varying volatility is a suitable model.

引用

页码：141 / 152

页数：12

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