An Empirical Study on Asymmetric Volatility of Shanghai Stock Market

被引：0

作者：

Zhang Zhanzhen ^{[1
]}

Wang Mingye ^{[1
]}

机构：

[1] Qingdao Univ Sci & Technol, Econ & Management Coll, Qingdao 266071, Peoples R China

来源：

RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, PTS 1 AND 2 | 2011年

关键词：

Asymmetric volatility; TARCH model; EGARCH model;

D O I：

暂无

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

This paper made an empirical study on asymmetric volatility of Shanghai stock market through TARCH model and EGARCH model. The conclusion shows that there was significant asymmetric volatility existing in Shanghai stock market, The reasons for asymmetric volatility were that investor's conception of investment are not mature, although it is gradually enhancing. But generally, investor's behavior is speculation-oriented.

引用

页码：308 / 312

页数：5

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