AN ANALYSIS OF RETURN VOLATILITY BASED ON THE DATA OF SUPERMARKET

摘要：

This paper mainly studies the return volatility of supermarket by using EGARCH-M, a model that is applied widely in stock markets. The result indicates that the commodities returns of the supermarket have the leverage effect, i.e. the impact of bad news on volatility is more than that of good news. This conclusion is consistent with stock market.

关键词： Supermarket return volatility EGARCH-M leverage effect

作者: BIAO REN LIN CHANG

作者单位: School of Mathematics & Statistics, Hebei University of Economics & Trade, Shijiazhuang 050061, China

会议类型: 国际会议

会议名称: 2006 International Conference on Machine Learning and Cybernetics(IEEE第五届机器学习与控制论坛)

会议地点: 大连

会议语种:英文

页码: 3385-3388

在线出版日期: 2006-08-13（万方平台首次上网日期，不代表论文的发表时间）