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The Shanghai Composite Index Fractal analysis of yield and FI-EGARCH-M Empirical Analysis

Author: ZhangHongWei
Tutor: XuCiWen
School: Central University for Nationalities
Course: Probability Theory and Mathematical Statistics
Keywords: the rates of Shanghai Composite Index return efficient market theory fractal market theory FI-EGARCH-M model
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 125
Quote: 0
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Abstract


In recent years, financial markets in economic development occupies an increasingly important position, in particular, the financial crisis just to calm brought a huge loss to the global economy, still sounded the alarm to the global economists, politicians and even ordinary people. The rules of financial data fluctuation become a hot research topic among the scholars from various countries.This article aims to describe the characteristics of the data in our country’s stock market in recent years, and search for a more appropriate model to fit the fluctuation rules of stock prices. It makes much sense to the further analysis of the stock price fluctuation.The main idea of this article is to analyze on the Shanghai Composite Index, according to the efficient market theory and fractal market theory, then integrate these two theories, and put a valid model forward named FI-EGARCH-M which has the advantages of both the efficient market theory and fractal market theory fractal FI-EGARCH-M model, and make an empirical analysis.The details are as followed:1. Expounding the efficient market theory and fractal market theory, and validating long memory and self-similarity of Shanghai Composite Index series which results is that the data shows fractal characteristics; 2. Introducing EGARCH models, and proposing FI-EGARCH-M model;3. Based on EGARCH (1,1)-M, FI-EGARCH (1,1), FI-EGARCH (1,1)-M types of models, applicating Eviews5.0, Matlab and other softwares to model the rate series of returns on the Shanghai Stock Index, and comparing them with statistical methods, and finally, obtain the best model which is most suit for the rate series:FI-EGARCH (1,1)-M.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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