A Research on Long Memory in Volatilities of Chinese Stock Returns

摘要：

This paper employs the FIGARCH and the FIPARCH models to investigate the long memory in volatilities of Chinese stock returns,using the Shanghai Composite Index as the sample. The findings form the the 2 models show that the volatilities in the log series of the returns of the Shanghai securities market has obviously long memory.

关键词： Long Memory Volatility FIGARCH Model FIPARCH Model

作者: SONG Lixin

作者单位: School of design,Hunan University,Changsha,P.R.China,410082

会议类型: 国际会议

会议名称: 2007 International Conference on Management Science and Engineering(2007管理科学与工程国际学术会议)

会议地点: 河南焦作

会议语种:英文

页码: 1982-1987

在线出版日期: 2007-08-20（万方平台首次上网日期，不代表论文的发表时间）