The Research on Shanghai-Shenzhen 300 Stock Indexs Volatility

摘要：

Based on the EGARCH model of GED distribution, this paper fit China Shanghai-Shenzhen 300 Stock Indexs volatility. The results show that the EGARCH model can fit Chinas stock index volatility well. The Shanghai-Shenzhen 300 Stock Index closing price fluctuations have a leverage effect, bad news generate greater volatility than the same amount of good news.

关键词： Shanghai—Shenzhen 300 stock index volatility EGARCH model

作者: LI Qunfeng

作者单位: School of Economics, Capital University of Economics and Business, P.R.China, 100026

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: 136-139

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）