Title :
Notice of Retraction
A joint model of chaos and GARCH effect in China´s stock markets
Author :
Hua Zhao ; Yizhong Zhou
Author_Institution :
Sch. of Econ., Xiamen Univ., Xiamen, China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
The paper establishes a joint GMG-GARCH model of chaos and GARCH effect in China´s stock markets. The results show that the fitted performances of the GMG-GARCH (1, 1) model are better than those of the simple GARCH model. The GMG-GARCH model not only explains the conditional variance from the general AR (1)-GARCH (1, 1) model, but also captures the chaos behaviors of stock returns.
Keywords :
stock markets; China stock markets; GARCH effect; GMG-GARCH model; chaos effect; stock returns; Chaos; Equations; Intelligent transportation systems; Power electronics; Power generation economics; Power system economics; Power system modeling; Stock markets; Testing; White blood cells; BDS test; Generalized Mackey-Glass GARCH model; chaos;
Conference_Titel :
Power Electronics and Intelligent Transportation System (PEITS), 2009 2nd International Conference on
Conference_Location :
Shenzhen
Print_ISBN :
978-1-4244-4544-8
DOI :
10.1109/PEITS.2009.5406840
