The Empirical Analysis on Relationship of the Volatility Characteristics of China Stock and International Stock Market
This article described the characteristics and differences of the Shanghai Stock Composite Price Index, Shenzhen Stock Component Price Index, Hongkong Stock Price Index and Dow-Jones Average Stock Price Index. Then we used the conditional variance serials of Shanghai Stock Composite Price Index, Shenzhen Stock Component Price Index, Hongkong Stock Price Index and Dow-Jones Average Stock Price Index to stimulate with VAR model. Through this model,we compared the effect of fluctuation overflow before and after the exchange rate reformation.
GARCH model VAR model the effect of fluctuation overflow nonsymmetrical fluctuation
Liushu Liujing Xudan
HeBei university HeBei Software Institute
国际会议
2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)
烟台
英文
1-6
2008-08-14（万方平台首次上网日期，不代表论文的发表时间）