The Research for Shanghai Stock Index Volatility Base on GARCH Model

摘要：

Chinese stock market development in a relatively short history, and has displayed great instability, this article select Shanghai stock market as the object to study, from the GARCH model of a single model to the application of multiple comparison analysis, to explore the regular of price fluctuations of Chinese stock market.

关键词： shanghai composite index GARCH model GARCH-M model EGARCH model tgarch model

作者: WU Haijian ZHOU Li

作者单位: School of Information, School of continuing education, Beijing Wuzi University, Beijing, P.R.China,1 School of Information, Beijing Wuzi University, Beijing, P.R.China, 101149

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: 1008-1011

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）