DocumentCode
3061045
Title
Volatility of Stock Yield Based on ARCH Model
Author
Zhang, Jilin
Author_Institution
Fujian Univ. of Technol. Fuzhou, Fuzhou, China
fYear
2012
fDate
23-26 June 2012
Firstpage
98
Lastpage
102
Abstract
The yield and volatility of Shanghai A stock market is studied based on ARCH model in this paper. Moreover, analysis about the volatility of China stock market has been make to clarify the tendency and the features of the China stock market, which is hope to promote the healthy development of China stock market.
Keywords
autoregressive processes; stock markets; ARCH model; China stock market analysis; China stock market volatility; Shanghai A stock market; autoregressive conditional heteroskedasticity model; stock yield volatility; Analytical models; Correlation; Graphics; Indexes; Inspection; Mathematical model; Stock markets; ARCH model; China stock market; stocks yield; volatility;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Sciences and Optimization (CSO), 2012 Fifth International Joint Conference on
Conference_Location
Harbin
Print_ISBN
978-1-4673-1365-0
Type
conf
DOI
10.1109/CSO.2012.30
Filename
6274686
Link To Document