中国金融学术研究网

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Volatility Analysis for Chinese Stock Market Using GARCH Model

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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.

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关键词：

GARCH Volatility

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