中国金融学术研究网

所属栏目：资本市场/资产定价

Volatility Analysis for Chinese Stock Market Using GARCH Model

认领作者认领作者管理权限

发布日期：2009年05月11日上次修订日期：2009年05月11日

Jia Geng jgeng@clemson.edu Clemson University

摘要

In this paper, I apply the GARCH-class models to Chinese stock market. And I analyze the characteristics of the volatility of Chinese stock market .By comparing the models, I conclude that EGARCH model and EGARCH-M model have almost the same efficiency in Shanghai Stock Exchange (SHSE) and Shenzhen Stock Exchange (SZSE). Then I use the estimated model to forecast the volatilities for these two stock exchanges.

展开

关键词：

GARCH Volatility

下载论文在线阅读

复制链接

新浪微博

微信扫一扫

论文统计数据

浏览次数：
2391
下载次数：
131

摘要

关键词：

论文统计数据

相关文献