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Shanghai and Shenzhen stock return volatility characteristics of
Author: JiangXiaoDong
Tutor: YangCan
School: Xiamen University
Course: Quantitative Economics
Keywords: ARCH Yield Risk Fluctuations cluster Leverage effect Volatility persistence
CLC: F832.5
Type: Master's thesis
Year: 2001
Downloads: 450
Quote: 2
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Abstract
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Volatility cluster (volatility clustering), for stock yields sequence data the fat tail ( excess hurtosis , fat tails ) and heteroscedasticity (heteroskedasticity) feature , the empirical analysis of ARCH Models . First, a systematic introduction to the ARCH model and its deformation , hypothesis testing methods ; then to the Shanghai and Shenzhen stock market indices and stocks for the sample , an empirical study of the index yield and stock gains with the ARCH model to analyze the market as a whole and the volatility of individual stocks yield characteristics and other properties . The text is divided into three parts . The first - Chapter system introduced ARCH model and its extended form , the ARCH model hypothesis testing method . Chapter II conducted a systematic review of the research literature related . The third chapter of the first to the Shanghai and Shenzhen stock markets A and B -share market index and the current volume of sample data , GARCH-M model TARCH model and EGARCH model empirical analysis . Then select the 248 A-shares in Shanghai and Shenzhen and current trading volume as the sample data , fitting GARCH-M model for each stock , and then analyze the results of parameter estimation .
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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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