Empirical Analysis of GARCH Effect for Mixed Jump of Shanghai Security Index

Author

Zhang, Xiaofeng ; Du, Jun

Author_Institution

Econ. & Manage. Coll., Changsha Univ. of Sci. & Technologhy, Changsha, China

fYear

2009

fDate

24-26 July 2009

Firstpage

794

Lastpage

798

Abstract

Absorbing exchange rate as exogenous disturbance, a mixed GARCH-jump model is proposed to compare return series fluctuation of Shanghai composite index with that of Dow Johns Index. It also incorporates properties of asymmetry, clustering, leptokurtosis and fat-tail of index series fluctuation into an integrated analytic frame of so-called diffusion-jump. Fitness test of GARCH-jump model proves that abnormality of return series fluctuation of emerging markets can be more effectively explained by it than by single model.

Keywords

exchange rates; normal distribution; GARCH effect; GARCH-jump model; Shanghai composite index; Shanghai security index; diffusion-jump; exchange rate; index series fluctuation; mixed jump; normal distribution; return series fluctuation; Econometrics; Economic forecasting; Economic indicators; Exchange rates; Fluctuations; Information analysis; Information security; Predictive models; Stock markets; Testing; Diffusion effect; GARCH-Jump model; Jump effect; Maximum likelihood estimation;

fLanguage

English

Publisher

ieee

Conference_Titel

Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on

Conference_Location

Beijing

Print_ISBN

978-0-7695-3705-4

Type

conf

DOI

10.1109/BIFE.2009.184

Filename

5208760