Title :
The Simulation Study of Shanghai and Shenzhen 300 Index By Garch Models
Author_Institution :
Sch. of Finance, Yunnan Univ. of Financial & Econ., Kunming, China
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;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering (ICIII), 2011 International Conference on
Conference_Location :
Shenzhen
Print_ISBN :
978-1-61284-450-3
DOI :
10.1109/ICIII.2011.293
