Empirical Analysis of GARCH Effect for Mized Jump of Shanghai Security Indez

摘要：

Absorbing exchange rate as exogenous disturbance, a mixed GARCH-Jump model is proposed to compare return series fluctuation of Shanghai Composite Index with that of Dow Johns Index. It also incorporates properties of asymmetry, clustering, leptokurtosis and fat-tail of index series fluctuation into an integrated analytic frame of so-called diffusion-jump. Fitness test of GARCH-Jump model proves that abnormality of return series fluctuation of emerging markets can be more effectively explained by it than by single model.

关键词： GARCH-Jump model Mazimum likelihood estimation Diffusion effect Jump effect

作者: Xiaofeng Zhang Jun Du

作者单位: Economics and Management College, Changsha University of Science and Technologhy, Changsha, 410076, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 794-798

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）