Volatility of Shanghai Stock Market: Using ARCH Type Models

摘要：

This paper is a research on the volatilities of Chinese stock market via the ARCH type models.The results show that the ARCH type models can capture comparatively better the volatility features of the Chinese stock market: heteroscedasticity, volatility clustering, leverage effect and impact persistence.With a better characterization of those volatility features, a solid basis for decision making can be provided to investors and the regulating department.

关键词： Index return volatility clustering ARCH type models Heteroscedasticity

作者: Zhang Xiaoyong Ma Chaoqun

作者单位: College of Business Administration,Hunan University,Changsha,Hunan 410082,China

会议类型: 国际会议

会议名称: 2006 International Conference on Management Science and Engineering(2006管理科学与工程国际学术研讨会)

会议地点: 武汉

会议语种:英文

页码: 686-693

在线出版日期: 2006-11-08（万方平台首次上网日期，不代表论文的发表时间）