Shenzhen Composite Index based on GARCH class model Research on Stock Market Volatility
نویسندگان
چکیده
Based on the review of ARCH/GARCH models, this paper uses GARCH model to empirically study stock market volatility Shenzhen Composite Index, GARCH-M analyze risk premium, and EGARCH asymmetry volatility.The results show that can eliminate heteroscedastic property residuals, has a strong impact, return premium is not significant, caused by bad news in much larger than same size good news, there obvious leverage effect.The prediction effect.Finally, some relevant conclusions policy suggestions are given.
منابع مشابه
Exchange rate volatility and its effect on stock market volatility
This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...
متن کاملEffect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model
The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...
متن کاملmortality forecasting based on lee-carter model
over the past decades a number of approaches have been applied for forecasting mortality. in 1992, a new method for long-run forecast of the level and age pattern of mortality was published by lee and carter. this method was welcomed by many authors so it was extended through a wider class of generalized, parametric and nonlinear model. this model represents one of the most influential recent d...
15 صفحه اولAnalysis of Stock Market Volatility by Continuous-time GARCH Models
The discrete time ARCH/GARCH model of Engle and Bollarslev has been enormously influential and successful in the modelling of financial data. Recently, Klüppelberg, Lindner, andMaller (2004) introduced the so-called “COGARCH”model as a continuoustime analogue to the GARCH model. Many aspects of the COGARCH have been investigated, including various of its theoretical properties, its relations to...
متن کاملForecasting Stock Market Volatility Using (Non-Linear) Garch Models
In this papeT we study the performance of the GARCH model and two of its non-linear modifications to forecast weekly stock market volatility. The models are the Quadratic GARCH (Engle and Ng. 1993) and the Glosten. Jagannathan and Runkle (1992) models which have been proposed to describe, for example, the often observed negative skewness in stock market indices. We find that the QGARCH model is...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: BCP business & management
سال: 2022
ISSN: ['2692-6156']
DOI: https://doi.org/10.54691/bcpbm.v28i.2136