Study on Time Varying Conditional Correlations of Stock Market Returns Based on Multivariate GARCH model

摘要：

This paper uses multivariate GARCH model to model covariance matrix of Shanghai stock integration index, Hangsheng index of Hong Kong stock market and Nikkei 225 index of Tokyo stock market, and analyze time-varying conditional correlations of returns and volatilities of these three index returns. Our results show that conditional returns of them are of time varying conditional correlations and their covariance matrices are also varying with the time.

关键词： multivariate garch model return of integration index time varying conditional correlations volatility.

作者: Yu Lin Yanxiang Chen

作者单位: Business School, Chengdu University of Technology Chengdu P.R.China 610059 College of Information Management, Chengdu University of Technology, Chengdu China 610059

会议类型: 国际会议

会议名称: 2010 IEEE International Conference on Advanced Management Science(2010年IEEE高级管理科学国际会 IEEE ICAMS 2010)

会议地点: 成都

会议语种:英文

页码: 579-582

在线出版日期: 2010-07-09（万方平台首次上网日期，不代表论文的发表时间）