Research on the GARCH model of the Shanghai Securities Composite Index

被引：0
|
作者：
Luo, Dancheng [1 ]
Xue, Yaqi [1 ]
机构：
[1] Shenyang Univ Technol, Sch Econ, Shenyang, Peoples R China
来源：
PROCEEDINGS OF THE 2013 INTERNATIONAL ACADEMIC WORKSHOP ON SOCIAL SCIENCE (IAW-SC 2013) | 2013年 / 50卷
关键词：
volatility; Arch model; Garch model;
D O I：
暂无
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
GARCH model can be used to describe the characteristics of returns fluctuation, which can forecast the returns and risk of financial assets. This paper makes use of GARCH model and its hybrid models, such as GARCH-M model, E-GARCH model, T-GARCH model and I-GARCH model, to the empirical research on the data of Shanghai Securities Composite Index from January 2, 2001 to May 20, 2013. The results show that there are the characteristics of High Kurtosis and Fat Tail, Volatility Clustering and the phenomenon of high risk and high reward.
引用
收藏
页码：162 / 166
页数：5
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