Research on Return Volatility of Iron International Market Based on GARCH Family Model

摘要：

This paper studies on the Return Volatility of Iron International Market Based on GARCH Family Model and analyzes the the characteristics of the volatility of iron international market. Through a comparison with other models, we find TARCH(1, 1)-M model has the best simulated effects and the prediction effect in long term is better than the effect in short term by observations. We also draw a conclusion that in iron market there is a leverage effect which can help investor make decision.

关键词： iron price GARCH volatility

作者: Qingchun LIU Rongjie TIAN Pengfei BAI

作者单位: School of Management and Economics,Beijing Institute of Technology,Beijing,100081,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 217-221

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）