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FIGARCH Model And The Study Of Long-term Memory On China Stock Volatility

Posted on:2007-11-02Degree:MasterType:Thesis
Country:ChinaCandidate:Y Q HuangFull Text:PDF
GTID:2189360242962643Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
The persistence in financial volatility is one of the important phenomena,whether the persistence remains long-term memory or not will be helpful to the choice of portfolio,the management of asset risk,and so on.Under the frame of the Efficient Market Hypothesis, the influence of innations to the market volatility will always reflect on the market price in time through the feedback mechanism of the market which is perfect and quick,in another word ,the innations at present will poorly influence on the future.However,many facts about them were not really so ,they often showed persistence and long-term memory.Because the financial volatility measures the risk ,whether the market have long-term memory or not will influence on it greatly. The article uses FIGARCH model which shows long-memory dependence for testing the persistence and long-term memory on China Stock Market.During the substantial evidence and analysis, first,we analyze the basic statistics characteristic about the logarithms rate of return of stock market day closing price,and it show a peak and fatty tail,and it is considered that there exists an ARCH effect,then we do the ARCH effect test and the long-term memory test, and carry on the estimate of the FIGARCH model.As a result,they suggest that there exists the long-term memory in the stock market of our country.
Keywords/Search Tags:FIGARCH, Long-term Memory, KPSS test, quasi-maximum likelihood estimation
PDF Full Text Request
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