Behavior of Stock Returns Volatility and Forecasting Model

摘要：

This thesis focuses on the behavior characteristics to valuate the volatility models. Then the behavior characteristics of stock returns volatility such as time varying, persistence, long memory and asymmetric are analyzed. We arrive at the better volatility model based on several models characteristics.

关键词： volatility behavior GARCH forecasting model

作者: LOU Xiaofei

作者单位: Institute of Economics and Management, Shanghai University of Sport, P.R.China, 200438

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: 971-976

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）