Comparative Research on Stock Volatility between Shanghai Composite Index and Dow Jones

摘要：

Accommodating exchange rate factors as exogenous disturbance, this paper proposes a mixed GARCH-Jump model to compares in general the volatility properties of returns series of the Shanghai composite index with those of the Dow Jones index. It also incorporates the asymmetry, clustering and leptokurtosis and fat-tail properties of returns volatility into an integrated analytic frame of so-called diffusion-jump. The fitness test on the model indicates that mixed GARCH-Jump model predicts theabnormality in the financial returns series of the emerging markets more powerfully than the single models.

关键词： GARCH-Jump model Maximum likelihood estimation Diffusion effect Jnmp effect

作者: DU Jun

作者单位: School of Economics,Changsha University of Science & Technology,Hunan Province,410083,P.R.China,410076

会议类型: 国际会议

会议名称: The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)

会议地点: 杭州

会议语种:英文

页码: 539-543

在线出版日期: 2008-05-18（万方平台首次上网日期，不代表论文的发表时间）