Long Memory Properties in Chinese Stock Markets
This paper investigates the long memory property of volatility of Chinas Stock markets over a period of 2001-2010. The daily stock closing price indices of the Shanghai A shares and Shenzhen A shares, from January 1 2001 to January 1 2010, are analyzed and our results indicate that both stock markets exist the leverage effect, clustering volatility and longmemory behavior of the volatility. Our empirical results also reveal that long memory dynamics can be adequately estimated by the FIGARCH model, which outperforms GARCH family models (including GARCH, EGARCH, IGARCH) in the predictive accuracy of volatility.
Long memory GARCH EGARCH IGARCH FIGARCH
Zhe-Yuan Zhong
Center for Combinatorics Nankai University Tianjin, P. R. China
国际会议
上海
英文
323-327
2011-03-11（万方平台首次上网日期，不代表论文的发表时间）