Fitting and Analyzing the Volatility of Financial Market
The volatility of financial market is the object investors paying attention to, and also the hot spot by studied. In this paper, we analyze some characteristics of the GARCH model fitting the volatility, and build the ARMA-TGARCH-M model; we carry on the empirical analysis and calculate the VaR by the data of return of China Unicom stock, and indicate the model suited by Back-test; we give reasonable explanation to the empirical results, and analyze some behavior of financial market.
GARCH Model ARMA-TGARCH-M Model VaR Volatility Serial Correlation Heteroscedasticity
SUN Yong LI Shushan
College of Information Science and Engineering, Shandong University of Science and Technology, Qingdao, P.R.China, 266510
国际会议
2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)
青岛
英文
1-4
2009-07-25（万方平台首次上网日期，不代表论文的发表时间）