Empirical Study on Volatility of Shanghai Stock Market with GARCH Model

被引：0
|
作者：
Wan Zhen-zhen [1 ]
Yan Guang-le [1 ]
机构：
[1] Shanghai Univ Sci & Technol, Coll Management, Shanghai 200093, Peoples R China
来源：
PROCEEDINGS OF 2009 CONFERENCE ON SYSTEMS SCIENCE, MANAGEMENT SCIENCE & SYSTEM DYNAMICS, VOL 7 | 2009年
关键词：
Stock price volatility; Conditional heteroscedasticity; GARCH model;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Frequent fluctuations of stock prices is one of the most obvious features of the stock market In this paper the GARCH model is used to analysis and empirical study on the daily closing price of shanghai stock market, it was shown that conditional heteroscedasiticity and non-normal characteristics of the list was tested By forecasting the future daily closing price with the model built, it indicated that GARCH model can be used to describe the fluctuations of shanghai stock market.
引用
收藏
页码：139 / 142
页数：4
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