Volatility Analysis for Chinese Stock Market Using GARCH Type Models
The paper investigates the feasibility of three GARCH type models for predicting the volatility of Chinese Stock Markets, namely, GARCH, GARCH-M and EGARCH. In particular, the volatility of the Shanghai Stock Exchange Composite Index has been examined by using these three models for a period of 6 years from Dec 2003 to Dec 2009, during which time, the Shanghai Stock Market had experienced a fast booming period (Dec 2003-Nov 2007), a dramatic crash (Nov2007-Oct 2008), and a recovery period (Oct 2008-now). By looking into the volatility of the market composite index, this research has verified the forecasting capacities of these time series models. Results of empirical analysis of the Chinese stock market conclude that there exists a weak negative relation between risk and return of Shanghai stock market, and also confirm the leverage effect, i.e. the impact on market fluctuations from bad news is stronger than that from good news.
GARCH stock returns
YIN Zehua ZHANG Lei LIU David
Department of Mathematical Sciences, Xian Jiaotong-Liverpool University, SIP, Suzhou, P.R.China, 215123
国际会议
威海
英文
186-193
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）