Title :
An Analysis of Return Volatility Based on the Data of Supermarket
Author :
Ren, Biao ; Chang, Lin
Author_Institution :
Sch. of Math. & Stat., Hebei Univ. of Econ. & Trade, Shijiazhuang
Abstract :
This paper mainly studies the return volatility of supermarket by using EGARCH-M, a model that is applied widely in stock markets. The result indicates that the commodities´ returns of the supermarket have the leverage effect, i.e. the impact of bad news on volatility is more than that of good news. This conclusion is consistent with stock market
Keywords :
regression analysis; retail data processing; stock markets; EGARCH-M model; commodities´ returns; generalized auto-regressive conditional heteroskedasticity model; leverage effect; return volatility; stock market; supermarket data; Alcoholic beverages; Costs; Cybernetics; Electronic mail; Europe; Guidelines; Machine learning; Marketing and sales; Mathematical model; Mathematics; Statistical analysis; Statistics; Stock markets; Testing; EGARCH-M; Supermarket; leverage effect; return volatility;
Conference_Titel :
Machine Learning and Cybernetics, 2006 International Conference on
Conference_Location :
Dalian, China
Print_ISBN :
1-4244-0061-9
DOI :
10.1109/ICMLC.2006.258499
