Behavior of Stock Return's Volatility and Forecasting Model

被引：0
|
作者：
Lou Xiaofei [1 ]
机构：
[1] Shanghai Univ Sport, Inst Econ & Management, Shanghai 200438, Peoples R China
来源：
STATISTIC APPLICATION IN SCIENTIFIC AND SOCIAL REFORMATION | 2010年
关键词：
Volatility behavior; GARCH; Forecasting model;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This thesis focuses on the behavior characteristics to valuate the volatility models. Then the behavior characteristics of stock return's volatility such as time varying, persistence, long memory and asymmetric are analyzed. We arrive at the better volatility model based on several models' characteristics.
引用
收藏
页码：971 / 976
页数：6
相关论文
共 50 条
  • [21] Efficient predictability of stock return volatility: The role of stock market implied volatility
    Dai, Zhifeng
    Zhou, Huiting
    Wen, Fenghua
    He, Shaoyi
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 52
  • [22] Oil shocks and stock return volatility
    Bachmeier, Lance J.
    Nadimi, Soheil R.
    QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2018, 68 : 1 - 9
  • [23] The distribution of realized stock return volatility
    Andersen, TG
    Bollerslev, T
    Diebold, FX
    Ebens, H
    JOURNAL OF FINANCIAL ECONOMICS, 2001, 61 (01) : 43 - 76
  • [24] Return and Volatility in Tehran Stock Exchange
    Miri, Seyed Hossein
    LIFE SCIENCE JOURNAL-ACTA ZHENGZHOU UNIVERSITY OVERSEAS EDITION, 2013, 10 (01): : 1255 - 1259
  • [25] A GARCH model with modified grey prediction model for US stock return volatility
    Chang, Ting-Cheng
    Wang, Hui
    Yu, Suyi
    JOURNAL OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING, 2019, 19 (01) : 197 - 208
  • [26] Valuation and Returns on Stock Return Volatility
    Lyle, Matthew R.
    ACCOUNTING REVIEW, 2025, 100 (02): : 299 - 328
  • [27] Investor types and stock return volatility
    Che, Limei
    JOURNAL OF EMPIRICAL FINANCE, 2018, 47 : 139 - 161
  • [28] Forecasting stock market volatility using implied volatility
    He, Peng
    Shing-Toung, Stephen
    2007 AMERICAN CONTROL CONFERENCE, VOLS 1-13, 2007, : 2648 - +
  • [29] The Volatility of Stock Return in GEM Broad
    Fang, Fang
    Chen, Rongda
    2012 FIFTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE), 2012, : 272 - 273
  • [30] Stock exchange consolidation and return volatility
    Ben Slimane, Faten
    MANAGERIAL FINANCE, 2012, 38 (06) : 606 - +
12345