DocumentCode
2802464
Title
The Simulation Study of Shanghai and Shenzhen 300 Index By Garch Models
Author
Wu, Yongxing
Author_Institution
Sch. of Finance, Yunnan Univ. of Financial & Econ., Kunming, China
Volume
3
fYear
2011
fDate
26-27 Nov. 2011
Firstpage
30
Lastpage
33
Abstract
The empirical analysis of Shanghai and Shenzhen 300 Index, using Garch family models, shows that the fluctuation of Shanghai and Shenzhen 300 Index has an outstanding Garch effects, the fluctuation of stock market has constancy and weak leverage effect. The conditional variance of stock returns series is stationary and the stock market has predictability. We can predict the volatility of stock market based on EGRACH-M (1, 1) models.
Keywords
autoregressive processes; stock markets; EGRACH-M (1, 1) model; Garch effect; Garch model; Shanghai and Shenzhen 300 index; conditional variance; stock market fluctuation; Analytical models; Biological system modeling; Data models; Indexes; Mathematical model; Predictive models; Stock markets; Garch models; the Shanghai and Shenzhen 300 Index; the simulation study;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Management, Innovation Management and Industrial Engineering (ICIII), 2011 International Conference on
Conference_Location
Shenzhen
Print_ISBN
978-1-61284-450-3
Type
conf
DOI
10.1109/ICIII.2011.293
Filename
6114699
Link To Document