Volatility of Shanghai stock market: Using ARCH type models

被引：0

作者：

Zhang, Xiaoyong ^{[1
]}

Ma, Chaoqun ^{[1
]}

机构：

[1] Hunan Univ, Coll Business Adm, Changsha 410082, Hunan, Peoples R China

来源：

PROCEEDINGS OF THE 2006 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING | 2006年

关键词：

index return; volatility clustering; ARCH type models; heteroscedasticity;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper is a research on the volatilities of Chinese stock market via the ARCH type models. The results show that the ARCH type models can capture comparatively better the volatility features of the Chinese stock market: heteroscedasticity, volatility clustering, leverage effect and impact persistence. With a better characterization of those volatility features, a solid basis for decision making can be provided to investors and the regulating department.

引用

页码：686 / 693

页数：8

共 50 条

[1] Empirical Study on Shanghai Stock Market with ARCH Class Models
Guo Jing
Wang Xiangrong
[J]. RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II, 2009, : 2276 - 2280
[2] Modeling Shanghai stock market volatility
J. Xu
[J]. Annals of Operations Research, 1999, 87 : 141 - 152
[3] Modeling Shanghai stock market volatility
Xu, JG
[J]. ANNALS OF OPERATIONS RESEARCH, 1999, 87 (0) : 141 - 152
[4] The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and Its Extended Forms
Liu, Hao
Zhang, Zuoquan
Zhao, Qin
[J]. DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2009, 2009
[5] Volatility Analysis for Chinese Stock Market Using GARCH Type Models
Yin Zehua
Zhang Lei
Liu David
[J]. DATA PROCESSING AND QUANTITATIVE ECONOMY MODELING, 2010, : 186 - 193
[6] Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models
Yurttaguler, Ipek M.
[J]. ISTANBUL IKTISAT DERGISI-ISTANBUL JOURNAL OF ECONOMICS, 2024, 74 (01): : 37 - 58
[7] Network log-ARCH models for forecasting stock market volatility
Mattera, Raffaele
Otto, Philipp
[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2024, 40 (04) : 1539 - 1555
[8] Modeling stock market volatility using new HAR-type models
Gong, Xu
Lin, Boqiang
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 516 : 194 - 211
[9] An Empirical Study on Asymmetric Volatility of Shanghai Stock Market
Zhang Zhanzhen
Wang Mingye
[J]. RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, PTS 1 AND 2, 2011, : 308 - 312
[10] Analysis of the efficiency of the Shanghai stock market: A volatility perspective
Lin, Xiaoqiang
Fei, Fangyu
Wang, Yudong
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2011, 390 (20) : 3486 - 3495

← 1 2 3 4 5 →