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Shanghai And Shenzhen Stock Return Volatility Characteristics

Posted on:2002-09-04Degree:MasterType:Thesis
Country:ChinaCandidate:X D JiangFull Text:PDF
GTID:2206360062475352Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
Abstract ARCH model, autoregressive conditional heroskedasticity, is a model for time series analysis which is developed after!982 . Based on the analysis of data character in finance markets, the form and classes of ARCH model, its hypothesis test, and some other theories are presented in detail.Then, the application of ARCH model to shanghai and shenzhen stock markets is discussed...
Keywords/Search Tags:ARCH, Return, Risk, Volatility clustering, Volatility persistance
PDF Full Text Request
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