Empirical Study on the Price Volatility of Shenzhen Component Index

摘要：

This paper uses GARCH family models to analyze Shenzhen component index and compare the results of variety of models. The Conclusion shows that: the distribution of return rates series has an obvious spike-thick tail phenomenon; stock price index has non-symmetrical effect; EARCH model can fit the non-symmetrical effect of stock price index better.

关键词： GARCH family shenzhen component index price volatility

作者: GUAN Hua SUN Lihui

作者单位: Editorial department of Hebei University of economics and business, P.R.China, 050061 School of Mathematics and Statistics, Hebei University of economics and business, P.R.China,050061

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 199-203

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）