Some Statistical Studies On Chinese Stock Market

This is a short survey of the results in the present Master thesis. It consists of two individual parts:Part I An initial analysis of some Chinese stock price series.Part II Two Parameter Estimation Methods for Quantile-GARCH models.In the first part, we mainly study the stylized features of the Chinese stock market, concentrating on the behaviors of the marginal distribution and the correlation structure of the log return of stock prices. For the first purpose, we mainly use two new classes of distributions proposed by Jiang(2000). For second purpose, we investigate that if the correlation existing in the log return series in the international stock markets still holds in the Chinese stock market.In the second part, we consider the parameter estimation problems in Quantile-GARCH model, a new GARCH type model proposed by Deng and Jiang(2004). The first method is based on Hull and Yao(2003), while the second one just explores a nice property of Quantile type GARCH models.