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Volatility Of Stock Returns Predictability

Posted on:2004-02-22Degree:MasterType:Thesis
Country:ChinaCandidate:Y Y LiFull Text:PDF
GTID:2206360095460302Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
The paper accounts the importance and the necessity of the forecasting research to the stock return volatility of our country, and the use in practice of the forecasting about the stock return volatility, Firstly, stock market of our country is divided into large scale stock,middle scale stock and small scale stock on the basis of stock size. Secondly, according to the basic method of the mathematical statistics,the behavior of the return volatility about single stock is described by using the model of the rolling variance estimates。Through the relation of daily returns volatility and weekly returns volatility and the forecasting accuracy of the volatility Forecasting Model to various stock scale,we do practical analysis with the forecasting research to return volatility of single stock market . To the forecasting research of A stock multiple market and B stock multiple market, beginning with GARCH model of the stock return rate and the volatility, we discuss the multiple Market diagonal Portfolios Strategy on the foundation of the forecasting research to the return volatility of the stock by using asymmetric GARCH and BEKK model which are the deformations of GARCH model, and Finally, we construct the portfolios by way of the selection of volatility forecasting model.
Keywords/Search Tags:return, volatility, AGARCH model, BEKK model, Diagonal Portfolios
PDF Full Text Request
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